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

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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.

Keywords: order flow model; financial crisis; institution identity; Turkey (search for similar items in EconPapers)
JEL-codes: D8 F3 G1 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2003-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://eprints.lse.ac.uk/24855/ Open access version. (application/pdf)

Related works:
Working Paper: Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:24855

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().