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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Financial Markets Group in its series FMG Discussion Papers with number dp456.
Date of creation: Jun 2003
Date of revision:
Contact details of provider:
Web page: http://www.lse.ac.uk/fmg/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Goldstein, Itay & Ozdenoren, Emre & Yuan, Kathy, 2010.
"Learning and Complementarities: Implications for Speculative Attacks,"
CEPR Discussion Papers
7651, C.E.P.R. Discussion Papers.
- Kathy Yuan & Emre Ozdenoren & Itay Goldstein, 2008. "Learning and Complementarities: Implications for Speculative Attacks," 2008 Meeting Papers 276, Society for Economic Dynamics.
- 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.
- Raphael H. Solomon, 2004. "When Bad Things Happen to Good Banks: Contagious Bank Runs and Currency Crises," Working Papers 04-18, Bank of Canada.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (The FMG Administration).
If references are entirely missing, you can add them using this form.