The relationship of stock liquidity to returns implies market perception of liquidity for value. Literature is controversial on the relation. By controlling macro shocks, we found strong evidence for Germany and UK that has a positive pattern of the relation: improving market liquidity raises returns consistently across pre-, during- and post-crisis period. In contrast, China is opposite and has a negative pattern persistently across three periods. Interestingly, US has inconclusive finding for the pattern, possibly caused by significant diversification of value perception on liquidity. The findings imply Germany and UK being conducive for market efficiency but China is not.