[en] Highlights: • Market liquidity as well as surprise volume shocks are priced in the oil market. • Lower levels of lagged market liquidity relate to above average conditional oil market returns. • Surprise volume shocks are associated with lower conditional oil market returns and higher conditional return volatility. • Surprise volume—as a proxy of private information flow—is not related to a set of standard oil market liquidity proxies. -- Abstract: We investigate oil market price dynamics in the context of the Mixture of Distributions Hypothesis (MDH). Our econometric model addresses autoregressive properties in returns, the impact of surprise volume and conditional oil market return volatility as well as oil market liquidity in the conditional return equation. Surprise volume as a proxy of private information flow is shown to be unrelated to a set of standard market liquidity proxies. Oil return heteroscedasticity is found to be partly explained by surprise volume, a finding that is consistent with the MDH. Our findings further show that both oil market liquidity as well as surprise volume shocks are priced in the oil market. As such, lower levels of lagged market liquidity relate to above average conditional returns. Surprise volume shocks are associated with lower conditional oil market returns jointly with higher contemporaneous conditional return volatility. Lagged market liquidity dominates conditional volatility in predicting conditional oil price returns.