Information shares and market quality before and during the European sovereign debt crisis
Vassilios Papavassiliou and
Journal of International Financial Markets, Institutions and Money, 2021, vol. 72, issue C
We investigate information shares in the price discovery process in the euro-area sovereign bond market across the yield curve, during both calm and crisis periods. We employ a rich high-frequency dataset from the MTS platform. We find that price discovery is enhanced, on average, especially for periphery countries during the European sovereign debt crisis however, increases in information shares are not uniform across the yield curve. We further show that no particular market leads the price formation process across all maturity segments. We find a clear improvement in market quality for core countries (Germany and the Netherlands) but mixed results for periphery countries (Italy and Spain) in the crisis period.
Keywords: Price discovery; Information shares; Sovereign bond markets; European debt crisis; High-frequency data; Market quality (search for similar items in EconPapers)
JEL-codes: C5 G01 G10 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000536
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