Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis

35 Pages Posted: 6 Aug 2003

See all articles by Jon Danielsson

Jon Danielsson

London School of Economics - Systemic Risk Centre

Burak Saltoglu

Marmara University

Date Written: June 2003

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

JEL Classification: F3, G1, D8

Suggested Citation

Danielsson, Jon and Saltoglu, Burak, Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis (June 2003). EFA 2003 Annual Conference Paper No. 965, Available at SSRN: https://ssrn.com/abstract=424924 or http://dx.doi.org/10.2139/ssrn.424924

Jon Danielsson (Contact Author)

London School of Economics - Systemic Risk Centre ( email )

Houghton Street
London WC2A 2AE
United Kingdom
+44.207.955.6056 (Phone)

HOME PAGE: http://www.riskreasearch.org

Burak Saltoglu

Marmara University ( email )

Goztepe Campus
Istanbul, Istanbul 34840
Turkey

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