Thin Real Liquidity
A large market capitalization can rest on a small amount of genuine order-book depth, so modest selling moves the price much further than the headline implies.
How it happens
Market capitalization is the last traded price multiplied by a supply figure, an accounting identity rather than a pool of money, and it says nothing about how much could actually be transacted at or near that price. Real depth is the sum of resting bids within a given distance of the mid price, and it is supplied voluntarily by market makers who widen or withdraw when volatility rises or inventory risk becomes unattractive. Fragmentation across many venues splits that depth further, so an aggregated volume figure can describe liquidity that is not reachable in any single place. The term borrows its name from equities but does not imply that anything like that sum was ever invested or could ever be withdrawn.
What you can actually observe
Measure bid and ask depth within one and two percent of the mid price on the venues that actually matter, and estimate realized slippage for a defined order size rather than reading a volume number. Compare market capitalization against genuine daily volume, and check how much supply has never moved, since dormant supply is neither pressure nor depth. Watch whether depth persists at night and on weekends or is posted only during active hours.
Precedent
During the March 2020 sell-off, order books thinned across venues at the same time and prices at different exchanges diverged noticeably, showing that depth is a variable and not a constant.
What makes it more or less material
Compare depth within a defined band against the size of any single holder's position, the number of venues with real depth, the ratio of capitalization to filtered volume, and whether depth survives stress windows.