Based on the theory of investors' heterogeneous beliefs, this paper used a dynamic model to investigate the internal relationship between investors' heterogeneous beliefs, short-buy mechanism and stock market liquidity in downturn. It is confirmed that the investors' heterogeneous expectations for the economic recovery intensity will aggravate the deficiency of stock market liquidity in downturn, where the delayed purchase resulting from the “re-buy option” is a significant reason. Moreover, the model and numerical simulations have demonstrated that the introduction of short-buy mechanism will alleviate this shortage of liquidity and speed up the recovery of bear markets, which will provide valuable implications in the post-crisis times.