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http://bura.brunel.ac.uk/handle/2438/5109| Title: | Price formation on the EuroMTS platform |
| Authors: | Caporale, GM Girardi, A |
| Keywords: | MTS system;Price discovery |
| Issue Date: | 2009 |
| Publisher: | Brunel University |
| Citation: | Economics and Finance Working Paper, Brunel University, 09-41 |
| 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 |
| URI: | http://bura.brunel.ac.uk/handle/2438/5109 |
| Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 0941[1].pdf | 170.27 kB | Adobe PDF | View/Open |
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