Co-illiquidity Management

The authors study the link between illiquidity and co-movement in illiquidity and the way asset managers trade off illiquidity and co-illiquidity in their portfolio allocation decision. By exploring two experiments - the 2005 SHO Regulation and 2016 Tick Size pilot program - the authors document the way fund managers manage co-illiquidity risk and the implication for the market degree of illiquidity and co-illiquidity.