Price formation on the EuroMTS platform

Guglielmo Maria Caporale; Alessandro Girardi

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. -- MTS system ; price discovery

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Year of publication:	2010
Authors:	Caporale, Guglielmo Maria ; Girardi, Alessandro
Publisher:	Berlin : DIW
Subject:	Öffentliche Anleihe \| Public bond \| Euromarkt \| Euromarkets \| Börsenkurs \| Share price \| Effizienzmarkthypothese \| Efficient market hypothesis \| Informationswert \| Information value \| Schätzung \| Estimation \| EU-Staaten \| EU countries

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Extent:	Online-Ressource (12 S., 167 KB)
Series:	Discussion papers / Deutsches Institut für Wirtschaftsforschung. - Berlin : [Verlag nicht ermittelbar], ISSN 1619-4535, ZDB-ID 2125067-4. - Vol. 977
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/36719 [Handle]
Classification:	C32 - Time-Series Models ; G10 - General Financial Markets. General
Source:	ECONIS - Online Catalogue of the ZBW

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