But as so often happens in illiquid markets, the selling pressure is disrupting the prices of the smaller issues.

"How do you sell securities in an illiquid market?"

Anticipation of an illiquid market causes investors to back off further.

Then, too, the illiquid market also could react sharply to what it perceives as good news.

For funds that invest in relatively illiquid markets, these costs can be high.

All the while the small fragmented and illiquid market failed to emerge.

"When you have a small, illiquid market like Russia, it doesn't take much to drive it up."

So what we are seeing is people taking profits in an illiquid market.

"Institutions don't play these things because they won't plunge into illiquid markets," he said.

"Today you are looking at a small and illiquid market."