Co-illiquidity Management

Søren Hvidkjær, Massimo Massa, Aleksandra Rzeznik*

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-review


We 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 – we document the way fund managers manage co-illiquidity risk and the implication for the market degree of illiquidity and co-illiquidity.
Original languageEnglish
Article number101429
JournalJournal of Empirical Finance
Number of pages20
Publication statusPublished - Dec 2023


  • Short-sales constraints
  • Liquidity
  • Commonality
  • Mutual funds

Cite this