Based on the fundamental concept of Value-at-Risk（VaR）and considering the characteristics of Chinese stock market, a model to measure price risk and liquidity risk together is set up in this paper. Then, with this model and sample data of Chinese stock market used, price risk and liquidity risk of some individual stocks are measured. The results show volatility and liquidity of most Chinese stocks are similar and unstable. There does not exist any blue chip stocks in Chinese stock market