  Taylor's law of temporal fluctuation scaling, variance $\sim$ $a($mean$)^b$,
is ubiquitous in natural and social sciences. We report for the first time
convincing evidence of a solid temporal fluctuation scaling law in stock
illiquidity by investigating the mean-variance relationship of the
high-frequency illiquidity of almost all stocks traded on the Shanghai Stock
Exchange (SHSE) and the Shenzhen Stock Exchange (SZSE) during the period from
1999 to 2011. Taylor's law holds for A-share markets (SZSE Main Board, SZSE
Small & Mediate Enterprise Board, SZSE Second Board, and SHSE Main Board) and
B-share markets (SZSE B-share and SHSE B-share). We find that the scaling
exponent $b$ is greater than 2 for the A-share markets and less than 2 for the
B-share markets. We further unveil that Taylor's law holds for stocks in 17
industry categories, in 28 industrial sectors and in 31 provinces and
direct-controlled municipalities with the majority of scaling exponents
$b\in(2,3)$. We also investigate the $\Delta{t}$-min illiquidity and find that
the scaling exponent $b(\Delta{t})$ increases logarithmically for small
$\Delta{t}$ values and decreases fast to a stable level.
