Based on the pricing principle of commonality in liquidity from the perspective of market microstructure，this paper empirically investigates the mechanism of how commonality in liquidity affects corporate financing behavior and the decision of capital structure，using the sample of Chinese A-share listed companies during 2000-2016． The empirical results show that commonality in liquidity causes are duction of new incremental external financing including equity，debt and total financing，with debt having are duction degree bigger than of equity，and a decline in capital structure．The negative relation between commonality in liquidity and capital structure is enhanced significantly during the period of bear compared with the period of bull； meanwhile，under adverse market conditions，commonality in liquidity will also reduce capital structure；compared with the period before the split share structure reform ，the negative relation is weakened significantly after the reform ．In addition，the negative relations of those companies with more property rights of institutional investors and higher growth are significantly greater．