Each type of investment has its own liquidity i.e. the speed with which it can be converted into money. This can be seen with respect to various instruments (such as stocks or futures contracts) market segments or even entire exchanges. The importance of liquidity has been acknowledged for a long time. A considerable number of studies have investigated stock liquidity providing evidence that more illiquid stocks have higher returns which may be deemed an ‚illiquidity premium’. In this paper I present various factors which have an effect on liquidity by presenting the results of research concerning relations between liquidity and stock return on the Warsaw Stock Exchange (WSE) and Nasdaq stock exchanges in Tallinn Riga and Vilnius.