This thesis is about getting a relationship between stock market liquidity and firm value, where capital structure has been used as a mediating factor. This study departs from the cliche of traditional stock liquidity (illiquidity)-firm value linkage and presents for the very first time the mediating role of capital structure on illiquidity-firm value linkage in India. In addition to this, our study identifies the influence of information asymmetry, idiosyncratic risk, systematic risk, and investor sentiment on the illiquidity of stock under one roof in the Indian context. Furthermore, this study shows new evidence from an emerging country, India, for the first time.