Based on the market microstructure theory,this paper uses high frequency exchange data from Shanghai Stock Market to analyze how stock prices respond to the order imbalance and the liquidity,and compares the results according to the differences among different companies and market conditions.We find that the relation between price change and order imbalance is not linear,but a sub-hyperbolic tangent function;and the impact that positive order imbalance have on the stock price is larger than nega...