In this paper, we propose a spatial modulation (SM) scheme referred to as complex quadrature spatial modulation (CQSM). In contrast to quadrature spatial modulation (QSM), CQSM transmits two complex signal constellation symbols on the real and quadrature spatial dimensions at each channel use, increasing the spectral efficiency. To this end, signal symbols transmitted at any given time instant are drawn from two different modulation sets. The first modulation set is any of the conventional QAM/PSK alphabets, while the second is a rotated version of it. The optimal rotation angle is obtained through simulations for several modulation schemes and analytically proven for the case of QPSK, where both results coincide. Simulation results showed that CQSM outperformed QSM and generalized SM (GSM) by approximately 5 and 4.5 dB, respectively, for the same transmission rate. Its performance was similar to that of QSM; however, it achieved higher transmission rates. It was additionally shown numerically and analytically that CQSM outperformed QSM for a relatively large number of transmit antennas.