The role of china’s stock market liquidity in raising stock returns and promoting economic development should not be ignored, and the influence of stock returns and economic growth on stock market liquidity is also increasing day by day. In this paper, economic growth, stock returns and stock market liquidity are simultaneously incorporated into the TVP-SV-SVAR analysis framework, and the relationship between them is analyzed from a time-varying perspective. The empirical results show that the stock returns is the stock market liquidity and one-way Granger causality of economic growth, the stock market liquidity has a strong time lag effect on stock returns and the time variability is significant, the impact of the economic growth on the stock market liquidity effect presents a “spoon” form, while the impact of stock market liquidity on economic growth effect presents a “valley” form,and the influence of stock market liquidity at different time points on economic growth is obviously asymmetrical and time-varying. Therefore, the paper suggests maintain sufficient stock market liquidity from the aspects of promoting high-quality economic growth, perfecting stock market system and establishing risk hedging mechanism, so as to improve stock market stability.