Micro-caps are where a normal retail order size can be a meaningful share of a day's volume. Moves of 30% in a session happen on modest news, relative-volume spikes are extreme, and the same stock can be untradeable the next week.
Financing risk dominates. Many micro-caps have less than a year of cash and raise repeatedly through a secondary-offering or at-the-market-offering, often priced at a discount to the market. Halts, reverse-splits, and delisting notices are routine here.
Example: a $120M company with a 9M share float trading 400,000 shares a day. A 40,000-share position is 10% of a normal day's volume; exiting it into weakness can cost several percent in slippage.
Related: small-cap, penny-stock, reverse-split