Price formation on the EuroMTS platform

This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily data for 107 pairs of bonds, we present unambiguous evidence that trades on EuroMTS have a sizeable informational content.

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Year of publication:	2010
Authors:	Caporale, Guglielmo Maria ; Girardi, Alessandro
Publisher:	Berlin : Deutsches Institut für Wirtschaftsforschung (DIW)
Subject:	Öffentliche Anleihe \| Euromarkt \| Börsenkurs \| Effizienzmarktthese \| Informationswert \| Schätzung \| EU-Staaten \| MTS system \| price discovery

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Series:	DIW Discussion Papers ; 977
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	619505028 [GVK] hdl:10419/36719 [Handle] RePEc:diw:diwwpp:dp977 [RePEc]
Classification:	C32 - Time-Series Models ; G10 - General Financial Markets. General
Source:	EconStor

Persistent link: https://www.econbiz.de/10010271355