Price Formation on the EuroMTS Platform

Guglielmo Maria Caporale and Alessandro Girardi

No 977, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: This paper examines the process of price discovery in the 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 twenty-seven months of daily data for 107 pairs of bonds, we present unambiguous evidence that trades on EuroMTS have a sizeable informational content.

Keywords: MTS system; price discovery (search for similar items in EconPapers)
JEL-codes: C32 G10 (search for similar items in EconPapers)
Pages: 12 p.
Date: 2010
New Economics Papers: this item is included in nep-eec and nep-ifn
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Related works:
Journal Article: Price formation on the EuroMTS platform (2011)
Working Paper: Price Formation on the EuroMTS Platform (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:diw:diwwpp:dp977

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