One component of economic growth in any country is the development of the capital market. The development of this market will have positive effects on savings and investments. Also, The effects of microstructures capital markets, including liquidity, the investment is of particular importance. The main goal of the present study is testing relationship between liquidity and firm investment. Accordingly, a sample consisting of 88 companies -accepted in Tehran Stock Market during 1381-1395- went under investigating. In order to test this investigated phenomenon, regression model of panel data was applied. The results revealed a positive and significant relationship among  liquidity (trading volume of companies) and investment (total assets, fixed assets and inventories). Also, positive and significant relationship among liquidity (trading volume adjusted by industry) the growth of total assets and the growth total inventories approved. And the lack of meaningful measure of liquidity (trading volume adjusted by industry) and the growth of fixed assets were demonstrated. In the following suggestions are presented for auditors.