Abstract: This paper selects from January 2009 to June 2016 monthly data of the 131 listed companies in non- financial sector stocks in the Shanghai stock market as the study sample. Panel Threshold Model is used to empirically test the asymmetric effect on Shanghai stock market liquidity premium. The empirical results show that Shanghai stock market liquidity premium phenomenon exists significant size effect and value effect; during the period of the market increases smaller and the market decline,the liquidity premium performance is consistent,the liquidity premium is higher than that of the rapid rise in the market return; after considering the scale factors and value factors,in different periods the size effect and value effect still exists,but the liquidity premium were decreased.

Key Words: Liquidity Premium; Panel Threshold Model; Size Effect; Value Effect; Asymmetric Effect