Danielsson, Jon and Saltoglu, Burak (2003) Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis. Discussion paper, 456. Financial Markets Group, London School of Economics and Political Science, London, UK.
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An order flow model, where the coded identity of the counterparties of every trade is known, hence providing institution level order flow, is applied to both stable and crisis periods in a large and liquid overnight repo market in an emerging market economy. Institution level order flow is much more informative than cross sectionally aggregated order flow. The informativeness of institution level order flow increases with financial instability, with considerable heterogeneity in the yield impact across institutions.
|Item Type:||Monograph (Discussion Paper)|
|Additional Information:||© 2003 The Authors|
|Library of Congress subject classification:||H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
|Journal of Economic Literature Classification System:||D - Microeconomics > D8 - Information, Knowledge, and Uncertainty
G - Financial Economics > G1 - General Financial Markets
F - International Economics > F3 - International Finance
|Sets:||Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Collections > LSE Financial Markets Group (FMG) Working Papers
|Date Deposited:||13 Aug 2009 11:07|
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