The top securities regulator in Massachusetts on Monday said he is investigating the liquidation of Third Avenue Management's junk bond fund, a move that blocked investor redemptions last week.

"Average investors do not expect to be cut off from trading in an open-end investment company," Massachusetts' Secretary of the Commonwealth William Galvin said in a statement. "My office is opening this investigation to determine when and how this decision was made and to determine the extent of Massachusetts investors who have been impacted by this unprecedented decision on the part of fund management."

Third Avenue's Focused Credit Fund was shut down last week amid heavy losses and investor redemption demands. The fund had nearly $800 million in assets.