The purpose of this paper is to investigate which internal factors of companies are most affecting stock liquidity in the markets of the Baltic countries. The authors of the paper investigated the dependence between the stock liquidity of Lithuanian, Latvian and Estonian companies and the company-level factors, such as size of a company, return on assets, liquidity of assets, financial leverage, profit/loss. The research evidenced that the internal factors significantly impacted stock liquidity in the Baltic markets during the entire investigated period of 2005 – 2012, however this impact was less significant during the crisis and post-crisis period.