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

Author

Listed:
  • 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.

Suggested Citation

  • Burak Saltoglu & Jon Danielsson, 2003. "Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis," FMG Discussion Papers dp456, Financial Markets Group.
    • Handle: RePEc:fmg:fmgdps:dp456
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    Cited by:

    1. Kuzubaş, Tolga Umut & Ömercikoğlu, Inci & Saltoğlu, Burak, 2014. "Network centrality measures and systemic risk: An application to the Turkish financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 203-215.
    2. Başak Tanyeri, 2010. "Financial Transparency and Sources of Hidden Capital in Turkish Banks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 37(1), pages 25-43, February.
    3. 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.
    4. Nikola Gradojevic, 2007. "A market microstructure analysis of the Canadian dollar depreciation episodes in the 1990s," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1377-1387.
    5. Kathy Yuan & Emre Ozdenoren & Itay Goldstein, 2008. "Learning and Complementarities: Implications for Speculative Attacks," 2008 Meeting Papers 276, Society for Economic Dynamics.
    6. Burak Saltoğlu, 2013. "Turkish Banking Sector Current Status and the Future Challenges," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 41(1), pages 75-86, March.
    7. Andrea Eross & Andrew Urquhart & Simon Wolfe, 2019. "Investigating risk contagion initiated by endogenous liquidity shocks: evidence from the US and eurozone interbank markets," The European Journal of Finance, Taylor & Francis Journals, vol. 25(1), pages 35-53, January.
    8. Eross, Andrea & Urquhart, Andrew & Wolfe, Simon, 2016. "Liquidity risk contagion in the interbank market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 142-155.
    9. Raphael Solomon, 2004. "When Bad Things Happen to Good Banks: Contagious Bank Runs and Currency Crises," Staff Working Papers 04-18, Bank of Canada.

    More about this item

    JEL classification:

    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • G1 - Financial Economics - - General Financial Markets
    • F3 - International Economics - - International Finance

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