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http://bura.brunel.ac.uk/handle/2438/6127
Title: | Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system |
Authors: | Caporale, GM Girardi, A |
Keywords: | Price discovery;Liquidity;MTS system |
Issue Date: | 2011 |
Publisher: | Brunel University |
Citation: | Economics and Finance Working Paper, 11-10, Jul 2011 |
Abstract: | This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of twenty-seven months, we find a greater degree of price leadership of the dominant market when our measures (as opposed to the traditional price discovery metrics) are used. We also present unambiguous evidence that a market’s contribution to price discovery is crucially affected by the level of trading activity. The implications of these empirical findings are discussed in the light of the debate about the possible restructuring of the regulatory framework for the Treasury bond market in Europe. |
Description: | Copyright @ 2011 Brunel University |
URI: | http://bura.brunel.ac.uk/handle/2438/6127 |
Appears in Collections: | Economics and Finance Publications Dept of Economics and Finance Research Papers |
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