Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/36719
Authors: 
Caporale, Guglielmo Maria
Girardi, Alessandro
Year of Publication: 
2010
Series/Report no.: 
DIW Discussion Papers 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

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