We analyze four years of transaction data for euro-area sovereign bonds traded on the MTS electronic platform. In order to measure the informational content of trading activity, we estimate the permanent price response to trades. We find not only strong evidence of information asymmetry in...

This paper examines spillover effects caused when market participants trade different financial instruments in a single operation. We develop and test an extended model for cross-correlation in the trading processes of different assets on the European bond market. We find a significant...

The characteristics of the order flow in limit order markets has been significantly altered since the introduction of Market in Financial Instruments Directive. We revisit issues related to the shape of the limit order book and its information content in a post-MiFID world using message level...

This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during normal and crisis periods. We find that liquidity risk is more important than firm-specific credit risk regardless of market conditions. Moreover, in the period prior to the recent...

We use Hasbrouck's (1991) vector autoregressive model for prices and trades to empirically test and assess the role played by the waiting time between consecutive transactions in the process of price formation. We find that as the time duration between transactions decreases, the price impact of...

This paper examines the determinants of cross-platform arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an arbitrage opportunity into three distinct factors: the fixed cost to trade the opportunity, the level at which one of the platforms delays a...

We explain the variation in the degree of specialness for bonds used as collateral in the Italian Government BTP repo market. Some of our results are similar to the findings in the US repo market even though the underlying Italian BTP bond market is structurally different than the US Treasury...

This study is largely motivated by the ongoing process to revise the Investment Services Directive (ISD). Perhaps the most important aspect of this process are the consequences of the repeal of Article 14(3) which allows national authorities to stipulate that retail investor orders be executed...

In 2004, the European Council and Parliament adopted a new directive on markets in financial instruments (the MiFID). The implementation of the directive in EU member states is still ongoing. We provide a framework for understanding some of the main features of this new regulatory structure. We...