The aim of this paper is to analyze the dynamic evolution of six liquidity proxies on time and to find their causality with the French CAC 40 stock market index returns, over the period from January 2007 to December 2018. To this end, we use a vector autoregressive approach and the impulse response function and we perform the Granger causality test between the CAC 40 index returns and six different liquidity proxies. Empirical results suggest a significant short-term relationship between the returns and the liquidity. As for causality test, the results reveal that there is unidirectional causality running from returns to liquidity.