Bowe, Michael; Hyde, Stuart; McFarlane, Lavern - In: Emerging Markets Review 17 (2013) C, pp. 89-105
This paper examines the price impact of trading intensity on the MexDer TIIE28 interest rate futures contract, one of the world's most actively traded contracts. A novel volume-augmented duration model of price discovery decomposes trading intensity into liquidity and information components....