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Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis

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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Identification Number: 456

Abstract

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)
Official URL: http://fmg.lse.ac.uk
Additional Information: © 2003 The Authors
Subjects: H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
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
Last Modified: 27 Feb 2014 15:35
URI: http://eprints.lse.ac.uk/id/eprint/24855

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