We examine the liquidity of 456 different cryptocurrencies, and show that return predictability diminishes in cryptocurrencies with high market liquidity. We show that whilst Bitcoin returns are showing signs of efficiency, numerous cryptocurrencies still exhibit signs of autocorrelation and non-independence. Our findings also show a strong relationship between the Hurst exponent and liquidity on a cross-sectional basis. Therefore, we conclude that liquidity plays a significant role in market efficiency and return predictability of new cryptocurrencies. •We examine 456 cryptocurrencies.•Return predictability diminishes as liquidity increases in cryptocurrencies.•Volatility decreases as liquidity increases in cryptocurrencies.•There are no signs of an illiquidity premium.