Using data from 1995 to 2020, we conduct the examination regarding the role of stock liquidity in firm investment and the efficiency of stock market during 25 years with the different market conditions. Collecting data of 312 firms from technology sector listed in the Taiwan Stock Exchange (TWSE), we find a positive association between corporate investment and stock liquidity, moreover stock market is more efficiency during the different market conditions. Consequently, our findings suggest that level of financial constraints and external variables including the Financial Crisis, SARs, EBLOA, and COVID-19 can impact the movement of stock market.

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