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Title:Price formation on the EuroMTS platform PDF Logo
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
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des DIW
DIW-Diskussionspapiere

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