Fricke, Christoph; Menkhoff, Lukas - 2010
This paper examines the relative information shares of the Bund, i.e. the ten-year Euro bond future contract on German … discovery. The other contracts also have relevant - and at many days even higher - information shares. In examining determinants … of information shares, we add order flow measures to market state variables and macroeconomic news. More order flow in a …