Although a main way of enterprise financing, the issuance of bonds has many problems for small and medium-sized enterprise (SME). The main contradiction is that the investors believe too high a risk SMEs bonds have, and demand a higher risk premium, while the raiser consider it a too high cost. As liquidity premium is a main part of risk premium, we believe a higher liquidity will alleviate the above contradiction in some degree. On the basis of former research,we developed liquidity indicators suitable for China’s SMEs bonds, and tested some common factors which may affect the liquidity. The empirical results show that the only significant factor is the investor’s characteristics. It means that China’s bond market is lack of investor adapt to SMEs bonds. We believe that the root of this problem is information asymmetry, and proposed some suggestions for improve SMEs bond liquidity.