no exchange is fully secure. one day the site can be hacked, the exchange can lost, the owners may disappear from the middle. in such a case the effect will be very large and the prices of all the coins will be affected. it is safer to keep it in the wallet as possible
But keep cryptocurrency in wallet won't improve the liquidity of the market, we must improve this thing to see the value of cryptocurrency can be stable and increase to new high price. Of course, secure our money is still the most important thing for doing. But, almost the traders do that will make the cryptocurrency quiet again 