Building a modern capital market with Chinese characteristics requires improving the financial regulatory system, deepening the reform of the capital market, and promoting practical and institutional innovation. The "Double Random and One Open" system is a major innovation in the concept and method of supervision and also profound change in the supervision system. However, the academia has not yet paid attention to how the random supervision system affects the performance of corporate capital market. Liquidity is the "vitality" of the capital market. This paper takes stock liquidity as a starting point to study the impact of random supervision on the capital market performance of listed companies. The results show that random supervision, as a whole, reduces the stock liquidity of listed companies. Fine internal corporate governance and external market supervision can significantly inhibit the reduction effect of random supervision on stock liquidity and the company's earnings management motivation will enhance this effect. The channel test shows that random supervision ultimately reduces the company's stock liquidity by improving the company's overall risk, reducing the quality of information disclosure and improving the informed trading probability. This paper finds that the random supervision system has an unintended effect on the performance of the capital market, and then further proves the necessity of study the enforcement effect of regulation. The research conclusions provide inspiration for promoting the reform of "deregulation and service" and "improving the function of the capital market" emphasized by the Party's 20th National Congress, and also provides policy suggestions for improving the random supervision of capital market.