Does the “Bund” dominate price discovery in Euro bond futures?Examining information shares

This paper examines the relative information shares of the Bund, i.e. the ten-year Euro bondfuture contract on German sovereign debt, versus two futures with shorter maturity. We findthat the Bund is most important but does not dominate price discovery. The other contractsalso have relevant – and at many days even higher – information shares. In examining determinantsof information shares, we add order flow measures to market state variables and macroeconomicnews...