This study is to find out how the liquidity influences the expected stock returns in the Greater China stock markets, namely China, Hong Kong and Taiwan stock markets. We construct a new liquidity factor using asymptotic principal components analysis approach (PCA) of Connor and Korajczyk (1986) by combining four liquidity proxies of four dimensions of liquidity: trading quantity, trading cost, trading speed and price impact. We apply this new liquidity factor to well documented asset pricing models and build the liquidity-augmented multi-factor models and test the models with other well-documented asset pricing models. The result shows that liquidity is an important factor in pricing returns together with well-documented asset pricing factors (market premium, size effect, and value effect) in the Greater China stock markets. The results are valid on both time-series and cross-sectional tests and are robust to adding portfolio residuals, higher moments, monthly seasonality and conditional-market tests. We also compare the liquidity three/four-factor model (market premium, size effect, value effect and liquidity premium) with alternative models and find that the liquidity three/four-factor model can well explain the expected stock return in the Greater China markets.