This paper is examining to what degree different liquidity proxies are correlated. In this paper, five different liquidity proxies are introduced. The proxies are stock turnover, the illiquidity ratio, zero return measure, proportional bid–ask spread and turnover adjusted number of zero daily volumes. The study sample includes 38 companies listed in Tehran Stock Exchange. The analysis in this paper is carried out at the monthly level from 1382 to 1388. The sample is separated into two size groups based on their current month's market capitalization and then the correlation between liquidity proxies is computed separately. The results suggest that the correlations between liquidity proxies are generally low. Turnover adjusted number of zero daily volumes has higher correlation with other proxies and the correlations are stronger between liquidity proxies for larger firms. This finding is consistent with the contention that liquidity is a multifaceted concept and each alternative proxy may only capture a certain aspect of liquidity.