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

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

An order flow model, where the coded identity of the counterparties of every trade is known, hence providing institution level order flow, is applied to both stable and crisis periods in a large and liquid overnight repo market in an emerging market economy. Institution level order flow is much more informative than cross sectionally aggregated […]

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Danielsson Saltoglu-Anatomy Of A Market Crash - A Market Microstructure tahlil Of The Turkish O

An order flow model, where the coded identity of the counterparties of every trade is known, hence providing institution level order flow, is applied to both stable and crisis periods in a large and liquid overnight repo market in an emerging market economy. Institution level order flow is much more informative than cross sectionally aggregated or-der flow. The informativeness of institution level order flow increases with financial instability, with considerable heterogeneity in the yield mpact across institutions.

 

 File Size:635KB File Type: PDF pages: 5

       

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  • عنوان مقاله : ...Anatomy of a Market Crash: A Market
  • نوع فایل : PDF
  • حجم فایل : 630 کیلوبایت

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