Price formation on the EuroMTS platform

Guglielmo Maria Caporale and Alessandro Girardi

Applied Economics Letters, 2011, vol. 18, issue 3, 229-233

Abstract: This article examines the process of price discovery in the Mercato Telematico dei Titoli di Stato (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 27 months of daily data for 107 pairs of bonds, we present unambiguous evidence that trades on EuroMTS have a sizeable informational content.

Date: 2011
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Working Paper: Price Formation on the EuroMTS Platform (2010)
Working Paper: Price Formation on the EuroMTS Platform (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:18:y:2011:i:3:p:229-233

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DOI: 10.1080/13504850903559567

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