I would expect so as reserach has showed that good CG practices attract investors to the company. However, it may well be the case that there is no conclusive evidence for the relatioship due to some other exogeneous factors

Thanks Kesseven Padachi  for your answer and explanation

Since the enactment of Sarbanes Oxley Act in 2002 following several infamous corporate scandals, better corporate governance practices i.e. adherence to the recommendations of such committee such as Sarbanes Oxley or Cadbury committee before that for that matter naturally attracts investors trust towards them. In one of the surveys by Mckinsey & Co. they found that investors are ready to pay a premium of upto 25% for companies following better corporate governance practices. Hence one can conclude on the basis of above premise that there is more demand of better governed companies shares that that of those which are not leading to a rise in liquidity from the sellers perspective. 

However nothing can be said conclusively about buyers side liquidity as people would like to old on to a portion of better  governed companies through their shares and not willing to sell them to buyers creating illiquidity in the market.

It should in ideal case lead to a perfect liquid market but at best it provides skewed liquidity in favour of sellers.

Another dimension of this problem is that the recommendations of these corporate governance committees are legally binding on the companies, thus each company mandatorily has to follow them bringing all companies on equal footing. There is no company (equivalent at least in terms of market capitalisation) with which the governance adhering companies could be compared to find any evidence otherwise.

Hope I conveyed my point across.

See for example Chung, K. H., Elder, J., e Kim, J.-C. (2010), "Corporate governance and liquidity", Journal of Financial and Quantitative Analysis, Vol. 45, Nº. 02, pp. 265-291.

In my opinion, the basic objective of corporate governance is to ensure that the agent(s) manage the operations of an organization for the benefits of principal(s). When agents exert their efforts to create value for their principals then principals feel confident while investing their resources and this factor increase the demand for securities in the market and in turn positively affect the market price. However if agents misuse the firm's resources due to weak governance then principals may sell their securities which may negatively affect the market price. Thus effective corporate governance mechanisms substantially affect the market price of securities as well as firm value.  

Thanks dear Dr, Nadeem and Celia Oliveira for you appreciate comments and explanations

Good corporate governance could make it more attractive shares on the stock market. In this regard, see Gompers, Ishii and Metrick (2003)

Thanks for your comments Fabrizio Ross

In general, strong corporate governance (CG) could affect shares positively, and vice versa. However, in order to test the effect of CG on liquidity of shares, a deep investigation should take place as regards the organization's internal and external CG mechanisms. 

Good corporate governance practices may lead to better firm management. Strong boards with strong governance etiquette are capable of delivering superior financial performance. As a result, the investors may ultimately fall in love with the firm's shares. The surge in demand for the stock will always lead to higher stock valuation. in any case companies which have shown poor corporate governance styles have had their stocks suffer through undervaluation as shareholders/investors migrate to invest in other firms. Recall what happened to ENRON, WORLDCOM, ADELPHI etc.