The measurement of the market liquidity is a tricky exercise. The complexity stems from at least two factors: first, the multidimensional nature of market liquidity, and, second, its close relationship with market efficiency. To see the multidimensional nature of market liquidity, it suffices to evoke its common definition: a liquid market allows trading any volume size demanding an immediate execution and no price impacts. On the other hand, while a liquid market implies the absence of market impacts, market efficiency instead requires continuous and significant price adjustments to market news. Empirically, a comparative study among more than one stock exchange is conducted here by comparing different attributes of the same. It can be either quantitative or qualitative aspects of an exchange which ultimately win the race. Among the qualitative aspects, information disclosure, transparency, activity of clearance house etc may be used for comparison. However, for this empirical study, the quantitative aspect is considered to be more suitable. The present study seeks to investigate the relative edge between two dominated stock exchanges in the Indian Capital Markets that is Bombay Stock Exchange (BSE) and National Stock Exchange (NSE) in terms of market liquidity.