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

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Saltoglu, Burak (2003) Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis. Financial Markets Group Discussion Papers (456). Financial Markets Group, The London School of Economics and Political Science, London, UK.

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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
Divisions:	Financial Markets Group
Subjects:	H Social Sciences > HG Finance H Social Sciences > HB Economic Theory
JEL classification:	D - Microeconomics > D8 - Information, Knowledge, and Uncertainty G - Financial Economics > G1 - General Financial Markets F - International Economics > F3 - International Finance
Date Deposited:	13 Aug 2009 11:07
Last Modified:	11 Dec 2024 18:35
URI:	http://eprints.lse.ac.uk/id/eprint/24855

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