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http://hdl.handle.net/10419/36719
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| Title: | | Price formation on the EuroMTS platform  |
| Authors: | | Caporale, Guglielmo Maria Girardi, Alessandro |
| Issue Date: | | 2010 |
| Series/Report no.: | | Discussion papers // German Institute for Economic Research 977 |
| Abstract: | | 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. |
| Subjects: | | MTS system price discovery |
| JEL: | | C32 G10 |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des DIW DIW-Diskussionspapiere
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