Liquidity is broadly divided into market and funding liquidity, where a change in one affects the other. In this paper we investigate the impact of market liquidity on stock returns in the Norwegian stock market. Market liquidity is defined as the ease of trading financial assets, and has received considerable attention by both academics and practitioners the last decade. It is a concept which encompasses the driving force of any market: the ability to make money trading assets. The concept of turning assets into cash or other more liquid assets is something that every investor is, or should be, concerned about. The challenge is often to measure liquidity, and there is no single one measure that capture all facets of liquidity. Market liquidity has been studied by several authors since at least Demsetz (1968). The impact on stock returns has subsequently been studied by many others, see for example Roll (1984), Amihud and Mendelson (1986), Amihud and Mendelson (1991), Amihud (2002), Pastor and Stambaugh (2003), Acharya and Pedersen (2005), Spiegel (2008), and Amihud et al. (2015). A more recent paper, see Sensoy (2016), investigates the relationship between macroeconomic announcements and its impact on stock market liquidity. The author investigates the Turkish stock market, and find that only US macroeconomic announcements affect commonality in liquidity. In this paper, we aim to quantify the market liquidity of stocks using a survivor bias free sample of stocks over the period 1983-2015.