On the basis of relevant literature research both at home and abroad，this article begins with a detailed review of the meaning of stock liquidity，defines the meaning of liquidity from three perspectives (capability perspective，cost perspective，asset perspective)，secondly，from the micro perspective，defines the liquidity including depth，width，immediacy，and elasticity，finally，according to microscopic dimension theory of the liquidity，summarizes the liquidity measurement methods from such four angles as price，transaction volume，the combination of price and volume and time，and describes and analyzes the construction and applicable scope of liquidity measurement indicators.