The liquidity risk can impact the transaction execution with the significant losses. In the crude oil market, this work examines the market liquidity as a priced risk factor in yields. This area may considerably matter to be investigated, while an unprecedented slump is observed in the crude oil price during the pandemic period. The analysis is derived through the time series and multivariate algorithm methods. Pre-pandemic uncertainty and in the era of easing coronavirus-related restrictions, the liquidity was not priced in returns of the same trading session. In the period of economic restrictions, the crude oil trading was exposed to the liquidity risk for the same trading session. This risk was compensated by a premium return in environments of price uncertainty. In this debate, the liquidity risk was a priced risk factor in yields. Evidence from the VAR findings reports, that the past time series of the liquidity was priced in returns before the pandemic crisis takes place. Post-easing economic restrictions and in the era of pandemic-related restrictions, the past times series of the liquidity was not priced in returns. This quantification of the market liquidity may be more applicable for the liquidity risk management in the crude oil market.