This study examined the effects of switching exchange listings on the market liquidity of the stocks of domestic firms. By using intraday data to compute the quoted spread, effective spread, relative quoted spread, and relative effective spread as a proxy for market liquidity, we measured changes in market liquidity when sample firms switched from the Over-the-Counter (OTC) market to the Taiwan Stock Exchange (TSE) market. The results indicated that the market liquidity of stocks of firms that switched markets significantly improved. After considering market trends, various sample periods, alternative market liquidity proxies, and sample selection bias, and by using a 3SLS approach to avoid potential endogenous problems, the empirical results were supported. The evidence demonstrated that for firms, switching a stock listing to the TSE market lowers the degree of information asymmetry and lessens the adverse effects of earnings management and the degree of order imbalance, thereby improving the market liquidity of the firm.