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
Other Persons:	Girardi, Alessandro (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Schätzung \| Estimation \| EU-Staaten \| EU countries \| Informationswert \| Information value \| Euromarkt \| Euromarkets \| Effizienzmarkthypothese \| Efficient market hypothesis \| Öffentliche Anleihe \| Public bond \| Börsenkurs \| Share price

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Extent:	1 Online-Ressource (16 p)
Series:	DIW Berlin Discussion Paper ; No. 977
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2010 erstellt
Other identifiers:	10.2139/ssrn.1598217 [DOI]
Classification:	C32 - Time-Series Models ; G10 - General Financial Markets. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013144140