The article analyses the relationship between investment risk (as measured by the variance of returns or standard deviation of returns) and liquidity risk. The paper presents a method for calculating a new measure of liquidity risk, based on the characteristic line. In addition, it is checked what is the impact of liquidity risk to the volatility of daily returns. To describe this relationship dynamic econometric models were used. It was found that there was an econometric relationship between the proposed measure liquidity risk and the variance of returns.