English, Article, Journal or magazine article edition: Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis Burak Saltoglu; Jon Danielsson

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Bookmark: http://trove.nla.gov.au/version/44990
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis
Author
  • Burak Saltoglu
  • Jon Danielsson
Physical Description
  • preprint
Notes
  • An order flow model, where the coded identity of the counterpartiesof every trade is known, hence providing institution level order flow, isapplied to both stable and crisis periods in a large and liquid overnightrepo market in an emerging market economy. Institution level orderflow is much more informative than cross sectionally aggregated orderflow. The informativeness of institution level order flow increaseswith financial instability, with considerable heterogeneity in the yieldimpact across institutions.
  • RePEc:fmg:fmgdps:dp456
Language
  • English
Contributed by
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