The Informational Content of Trades on the EuroMTS Platform

Alessandro Girardi

No 97, ISAE Working Papers from ISTAT - Italian National Institute of Statistics - (Rome, ITALY)

Abstract: This paper presents unambiguous evidence that trading European government securities on EuroMTS contributes to determine their (unobservable) efficient price. Using twenty-seven months of daily transaction prices data for 107 bonds issued by eleven European governments, the estimated EuroMTS market’s contribution to price discovery is about 20 percent, on average. Further, the amount of price discovery turns out to be strongly related to trading activity and price volatility conditions even controlling for institutional factors and for the maturity of bonds. Overall, the empirical results suggest that trades conveying information occur on EuroMTS when the level of liquidity is sufficiently high.

Keywords: European bond markets; price discovery; MTS system. (search for similar items in EconPapers)
JEL-codes: C21 C32 G10 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2008-05
New Economics Papers: this item is included in nep-eec and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:isa:wpaper:97

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