Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/6127
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Girardi, A | - |
dc.date.accessioned | 2012-01-06T10:37:32Z | - |
dc.date.available | 2012-01-06T10:37:32Z | - |
dc.date.issued | 2011 | - |
dc.identifier.citation | Economics and Finance Working Paper, 11-10, Jul 2011 | en_US |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/6127 | - |
dc.description | Copyright @ 2011 Brunel University | en_US |
dc.description.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. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Brunel University | en_US |
dc.subject | Price discovery | en_US |
dc.subject | Liquidity | en_US |
dc.subject | MTS system | en_US |
dc.title | Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system | en_US |
dc.type | Article | en_US |
pubs.organisational-data | /Brunel | - |
pubs.organisational-data | /Brunel/Brunel Active Staff | - |
pubs.organisational-data | /Brunel/Brunel Active Staff/School of Social Sciences | - |
pubs.organisational-data | /Brunel/Brunel Active Staff/School of Social Sciences/Economics and Finance | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups/Centre for Empirical Finance | - |
Appears in Collections: | Economics and Finance Publications Dept of Economics and Finance Research Papers |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Fulltext.pdf | 299.94 kB | Adobe PDF | View/Open |
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.