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Title:Does the 'Bund' dominate price discovery in Euro bond futures? Examining information shares PDF Logo
Authors:Fricke, Christoph
Menkhoff, Lukas
Issue Date:2010
Series/Report no.:Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät // Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 449
Abstract:This paper examines the relative information shares of the Bund, i.e. the ten-year Euro bond future contract on German sovereign debt, versus two futures with shorter maturity. We find that the Bund is most important but does not dominate price discovery. The other contracts also have relevant - and at many days even higher - information shares. In examining determinants of information shares, we add order flow measures to market state variables and macroeconomic news. More order flow in a contract consistently increases this contract's information share.
Subjects:Bond futures
information shares
price discovery
order flow
macroeconomic news
JEL:G14
G13
C32
Document Type:Working Paper
Appears in Collections:Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover

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