Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/38750
Authors: 
Fricke, Christoph
Menkhoff, Lukas
Year of Publication: 
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

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