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

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  • Burak Saltoglu
  • Jon Danielsson

    ()

Abstract

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.

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Bibliographic Info

Paper provided by Financial Markets Group in its series FMG Discussion Papers with number dp456.

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Date of creation: Jun 2003
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Handle: RePEc:fmg:fmgdps:dp456

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  1. Shang-Jin Wei & Jungshik Kim, 1997. "The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?," NBER Working Papers 6256, National Bureau of Economic Research, Inc.
  2. Andrew W. Lo & A. Craig MacKinlay & June Zhang, . "Econometric Models of Limit-Order Executions," Rodney L. White Center for Financial Research Working Papers 12-99, Wharton School Rodney L. White Center for Financial Research.
  3. Danielsson, J. & Payne, R., 2002. "Real trading patterns and prices in spot foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 203-222, April.
  4. Goodhart, Charles, 1988. "The Foreign Exchange Market: A Random Walk with a Dragging Anchor," Economica, London School of Economics and Political Science, vol. 55(220), pages 437-60, November.
  5. Benjamin Cohen & Hyun Song Shin, 2002. "Positive feedback trading under stress: evidence from the US Treasury securities market," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 148-180 Bank for International Settlements.
  6. Covrig, Vicentiu & Melvin, Michael, 2002. "Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 271-285, August.
  7. Harris, Lawrence & Hasbrouck, Joel, 1996. "Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(02), pages 213-231, June.
  8. Peiers, Bettina, 1997. " Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 52(4), pages 1589-1614, September.
  9. Hartmann, Philipp & Manna, Michele & Manzanares, Andres, 2001. "The microstructure of the euro money market," Journal of International Money and Finance, Elsevier, vol. 20(6), pages 895-948, November.
  10. Hasbrouck, Joel, 1995. " One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-99, September.
  11. Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September.
  12. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
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Cited by:
  1. Tolga Umut Kuzubas & Inci Omercikoglu & Burak Saltoglu, 2013. "Network Centrality Measures and Systemic Risk: An Application to the Turkish Financial Crisis," Working Papers 2013/12, Bogazici University, Department of Economics.
  2. Burak Saltoğlu, 2013. "Turkish Banking Sector Current Status and the Future Challenges," Atlantic Economic Journal, International Atlantic Economic Society, vol. 41(1), pages 75-86, March.
  3. Goldstein, Itay & Ozdenoren, Emre & Yuan, Kathy, 2010. "Learning and Complementarities: Implications for Speculative Attacks," CEPR Discussion Papers 7651, C.E.P.R. Discussion Papers.
  4. Saltoglu, Burak & Yenilmez, Taylan, 2010. "Analyzing Systemic Risk with Financial Networks An Application During a Financial Crash," MPRA Paper 26684, University Library of Munich, Germany.
  5. Başak Tanyeri, 2010. "Financial Transparency and Sources of Hidden Capital in Turkish Banks," Journal of Financial Services Research, Springer, vol. 37(1), pages 25-43, February.
  6. Raphael H. Solomon, 2004. "When Bad Things Happen to Good Banks: Contagious Bank Runs and Currency Crises," Working Papers 04-18, Bank of Canada.

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