Analyses based on liquidity perspectives show that serious imbalance of funding，asset and monetary liquidity caused the quick spread of the European and American sovereign crisis．Besides the traditional price and volume indicators，the paper introduces liquidity impact indicators and constructs a liquidity measurement system for stock market．Based on Spearman method，the paper builds a new change-points detection process via binary Copula and probability integral transformation and successfully realizes effective changepoints detection of liquidity shocks between stock markets in Europe，America，and core developed countries and emerging countries．