In addition to liquidity, the US is the best place to invest because we have the best combination of political stability (DU notwithstanding) and relatively strong economic growth. As a foreign investor, you have three basic choices: 1) you can invest in the US & Canada (Canada's economy is closely integrated with the US economy and vice versa), which have very good political stability and fairly rapid economic growth, 2) you can invest in Europe or Japan, which have good political stability but slow economic growth, or 3) you can invest in developing countries such as China, India, Russia, Brazil, South Korea, and Mexico, which have strong economic growth but can throw you a nasty surprise from their less predictable political systems. For the typical foreign investor, the US and Canada are the best place to invest. More aggressive investors will make some limited investments in the developing countries.
The other big factor, closely related to liquidity, is that the US and Canada have the largest economies and the largest financial markets in the world, and that greatly reduces the risk of capital flight out of the US & Canada. The reason is simple: there's nowhere else for all the capital invested in the US to go because the foreign markets are much too small to handle it all and investors don't want to go there anyway for reasons mentioned above.