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Title: Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system
Authors: Girardi, A
Keywords: Price discovery;Liquidity;Trading activity;MTS system
Issue Date: 2013
Publisher: Elsevier
Citation: Journal of Banking and Finance, 37(2), 227 - 240, 2013
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 27 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: This is the post-print version of the final paper published in Journal of Banking and Finance. The published article is available from the link below. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. Copyright @ 2012 Elsevier B.V.
ISSN: 0378-4266
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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