Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares

Christoph Fricke and Lukas Menkhoff

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

Abstract: This paper examines the relative information shares of the Bund, i.e. the ten-year Euro bond future contract on German sovereign debt, versus two futures with shorter maturity. We find that the Bund is most important but does not dominate price discovery. The other contracts also have relevant - and at many days even higher - information shares. In examining determinants of information shares, we add order flow measures to market state variables and macroeconomic news. More order flow in a contract consistently increases this contract's information share.

JEL-codes: D85 G14 G23 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2010-05
New Economics Papers: this item is included in nep-cta, nep-eec and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Journal Article: Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:han:dpaper:dp-449

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