EconPapers    
Economics at your fingertips  
 

Information shares and market quality before and during the European sovereign debt crisis

Vassilios Papavassiliou and Harald Kinateder

Journal of International Financial Markets, Institutions and Money, 2021, vol. 72, issue C

Abstract: 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)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042443121000536
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000536

DOI: 10.1016/j.intfin.2021.101334

Access Statistics for this article

Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2022-01-04
Handle: RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000536