focuses on utilizing the VAR model on the investigation on whether or no the stock returns by exceed sales and buying stocks from Foreign Investments will be affected and how many about the effect for this. Our sample period of the research extends from November 3rd, 2000 to November 4th, 2002. We find that some kind of stocks are significant effects on stock index returns by exceed sales and buying stocks from foreign investments, especially are high stock ownership in traditional industries. Include the transportation, Food industry, construction, chemical and another class. It conforms the Liquidity Effect Hypothesis that was supposed on 1972. It will produce the different liquidity effect by different preference. That will affect the deal on stock.