The research based on developed capital markets shows that companies are mainly motivated by the appropriation of private interests of executives to carry out tax avoidance to save cash. However, under the backdrop of relatively high comprehensive tax burden on companies resulting from specific institutional environment in China, corporate tax avoidance to save cash is likely to the satisfaction of corporate survival and development. This paper examines the net effect of tax avoidance on the value of cash holdings by market-oriented methods. The empirical results indicate that returns brought from cash saved by tax avoidance are bigger than costs possibly brought, namely there is a significantly positive net effect. Further study shows that positive net effect of tax avoidance on the value of cash holdings mainly comes from companies with cash flow uncertainty at higher level or higher price-cost margin. As for China as an emerging market, actual tax burden on companies is still heavy, and the reduction in comprehensive corporate tax burden is still the primary objective of policy makers at present.