This paper provides new evidence on the relation between herd behavior and equity market liquidity, an issue that has been neglected when it comes to studying herd behavior towards the consensus. We use equity price data for the G5 markets, and initially find no evidence of herding. When, however, we condition on the liquidity of stocks we find significant evidence of herd behavior for high liquidity stocks, for most countries, a result robust to different definitions of the crisis period and different measures of liquidity. The only exception is Germany for which there is weaker evidence of herding in high liquidity stocks. Variance decomposition tests indicate that the variance of the average equity market liquidity is affected by return clustering, especially during the crisis and post-crisis period an effect that is more pronounced for the US market.