Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis
AbstractAn 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.
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Bibliographic InfoPaper provided by Financial Markets Group in its series FMG Discussion Papers with number dp456.
Date of creation: Jun 2003
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