The recent pandemic is still under debate and is raising concerns about future economic perspectives. This work investigates whether liquidity is priced in various cryptocurrencies’ returns, and if the relationship has been affected during the COVID-19 period. In a particular trading session analyzed before the pandemic uncertainty, liquidity was priced in returns on Bitcoin, Cardano, and XRP. However, the findings have changed due to the pandemic crisis. During the pandemic uncertainty, liquidity was found to be priced in Cardano returns during the same trading session. In addition, the liquidity cost imposed against accepting the position of Tether on day t-1 was noted to be priced in its returns for day t.