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http://bura.brunel.ac.uk/handle/2438/5109Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Caporale, GM | - |
| dc.contributor.author | Girardi, A | - |
| dc.date.accessioned | 2011-05-13T09:27:15Z | - |
| dc.date.available | 2011-05-13T09:27:15Z | - |
| dc.date.issued | 2009 | - |
| dc.identifier.citation | Economics and Finance Working Paper, Brunel University, 09-41 | en_US |
| dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/5109 | - |
| dc.description.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 | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Brunel University | en_US |
| dc.subject | MTS system | en_US |
| dc.subject | Price discovery | en_US |
| dc.title | Price formation on the EuroMTS platform | en_US |
| dc.type | Research Paper | en_US |
| 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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