Because individual investors attention, time and energy are limited, investors tend to buy the stocks that could attract their attention. This paper measures the status of the attention paid to stocks on the basis of the daily data of the attentionlevel from hexun.com, and makes an empirical test of the impact of China investors limited attention on the market liquidity of Growth Enterprises Market based on the individual fixedeffect model. The empirical results indicate that after controlling the size of the enterprise, the market portfolio return and the market rate, investors’limited attention had a significant positive impact on the GEM index. Meanwhile, this paper also tests the impact of network attentionlevel on stock returns under a limited attentionlevel, the results indicate that the network attentionlevel has a positive impact on the current return of the stock, but this impact will be reversed in a short period.