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

Burak Saltoğlu and Jon Danielsson

FMG Discussion Papers from Financial Markets Group

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.

Date: 2003-06
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Working Paper: Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis (2003)
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