Abstract: By arranging in size order then grouping and the panel data regression, this paper tests whether the value effect about liquidity premium exists in shanghai stock market and in the sub-stock market sorted by industry. A dummy variable is introduced to tell the difference of bull market and bear market in the regression model. We draw a conclusion that the value effect about liquidity premium exited during January 1998 to Dec, 2004 in shanghai stock market. The value effect about liquidity premium does not exist in three industries tested in this paper,which are textile industry, oil and plastic industry, machine industry during Jan 2002 to Dec. 2004 The difference between bull market and bear market can impact the whole stock market remarkably.