Abstract: How to effectively promote the digital transformation of micro enterprises and promote industrial digitalization has become a practical issue of common concern; the stock market liberalization may provide favorable opportunities to promote the digital transformation of enterprises. Taking the quasi-natural experimental environment provided by the implementation of “Mainland-Hong Kong Stock Connect” trading system, using Shanghai and Shenzhen A-share listed companies from 2007 to 2020 as subjects, this paper used a multi-period difference-in-differences model to empirically test the impact of stock market liberalization on enterprise digital transformation and its mechanism. The research finds that stock market liberalization can significantly promote the digital transformation of enterprises, that is, after the implementation of “Mainland-Hong Kong Stock Connect” trading system, the degree of digital transformation of the target enterprises has improved significantly. The result still holds water after the endogenic treatment and a series of robustness tests. The mechanism analysis shows that stock market liberalization can promote the digital transformation of enterprises through alleviating financing constraints, promoting enterprise innovation and alleviating management myopia. Heterogeneity analysis shows that the promoting effect of stock market liberalization on enterprise digital transformation is more obvious in non-state-owned enterprises, high-tech enterprises, and enterprises with high industry competition.