Dexterity measures Hero's agility and reflexes.
It's the base stat for Evasion and Speed.

Evasion represents the chance of dodging an attack or a skill, taking no damage.
It's a percentage number, so 5 means 5%.

Speed helps acting first during the first round of battle.
It also reduces the number of turns required by actions.
Every 5 points of Speed 1 turn is deducted from the action cost. When Speed gets higher than 35 the reduction in turns is slower (1 every 6 up to 65,1 every 7 up to 100 and so on).
If you speed is lower than 10, 1 turn is added for every 5 points less than 10.