Based on the data from Chinas A share market during 2003—2012, we examine whether monetary policy and stock liquidity have an effect on dynamic adjustment of capital structure. The results show that the higher the stock liquidity is, the faster the speed of capital structure adjustment will be; a relative relaxing monetary policy can strengthen the sensitivity between stock liquidity and the speed of capital structure adjustment. Our further study shows that under the different debt levels and the nature of companys property, the monetary policy and the stock liquidity have different effects on the dynamic adjustment of capital structure. The effects are more significant on the listed companies which have lower debt and are non state owned than those on the listed companies which have higher debt and are state owned.