If liquidity or illiquidity shocks reduce returns, then such risks need to be priced. The goal of this paper is to examine whether liquidity or illiquidity shocks increase or decrease returns on the Shanghai and Shenzhen stock exchanges. Our measure of illiquidity is the widely used Amihud’s (2002) ILLQ measure, and we proxy liquidity with the trading volume (TV), the turnover rate (TR), and the trading probability (TP). Using daily data for the period 1993 to 2003, we find weak evidence of the illiquidity shock having a negative effect on returns on both exchanges, and while greater cases of a positive effect of liquidity factors on returns is documented, very few of these are statistically significant. Hence, contrary to the extant literature, we find weak evidence in favour of pricing liquidity on the Chinese stock market.