The goal of this paper is to examine the impact of liquidity on returns on the Shanghai stock exchange (SHSE) and the Shenzhen stock exchange (SZSE). We proxy liquidity with the trading volume (TV), the turnover rate (TR), and the trading probability (TP). Using daily data for the period January 1997 and December 2003, we find mixed results on the relationship between liquidity and returns. There is greater evidence of liquidity having a negative effect on returns on the SHSE than on the SZSE. However, this evidence is not robust across the three proxies for liquidity that we use.