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Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system
Caporale, Guglielmo Maria; Girardi, Alessandro - 2011
This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of twenty-seven months, we find a greater degree of price leadership of...
Persistent link: https://www.econbiz.de/10010277369
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Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system
Caporale, Guglielmo Maria; Girardi, Alessandro - 2011
This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of twenty-seven months, we find a greater degree of price leadership of...
Persistent link: https://www.econbiz.de/10010280797
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Price formation on the EuroMTS platform
Caporale, Guglielmo Maria; Girardi, Alessandro - 2010
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...
Persistent link: https://www.econbiz.de/10010266110
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Price formation on the EuroMTS platform
Caporale, Guglielmo Maria; Girardi, Alessandro - 2010
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...
Persistent link: https://www.econbiz.de/10010271355
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Quoted spreads and trade imbalance dynamics in the European treasury bond market
Caporale, Guglielmo Maria; Girardi, Alessandro; … - 2010
documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise … (fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory … characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities. …
Persistent link: https://www.econbiz.de/10010275008
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Tell-tale tails: A data driven approach to estimate unique market information shares
Grammig, Joachim G.; Peter, Franziska J. - 2010
differences in market design and liquidity, can be exploited to estimate unique information shares. The empirical application of …
Persistent link: https://www.econbiz.de/10010302551
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Quoted spreads and trade imbalance dynamics in the European treasury bond market
Caporale, Guglielmo Maria; Girardi, Alessandro; … - 2010
documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise … (fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory … characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities. …
Persistent link: https://www.econbiz.de/10010285725
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Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery
Dötz, Niko - 2007
This paper looks at the dynamic price relationship between spreads in the corporate bond market and credit default swaps (CDS). It picks up where Blanco et al (2005) leave off but is focused on European credit markets. The study is based on companies listed in the iTraxx CDS index and thus on...
Persistent link: https://www.econbiz.de/10010295927
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How effective are trading pauses?
Hautsch, Nikolaus; Horvath, Akos - 2017
break local price trends, make liquidity suppliers revise positions, and enhance price discovery. In contrast, pauses do not …
Persistent link: https://www.econbiz.de/10011646669
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Competition between equity markets: A review of the consolidation versus fragmentation debate
Gomber, Peter; Sagade, Satchit; Theissen, Erik; Weber, … - 2016
fragmentation, the resulting implications for liquidity and price efficiency, and the role for public policy. Beyond the concerns …
Persistent link: https://www.econbiz.de/10012064260