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DC Field | Value | Language |
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dc.contributor.author | Girardi, A | - |
dc.date.accessioned | 2014-04-07T09:48:35Z | - |
dc.date.available | 2014-04-07T09:48:35Z | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Journal of Banking and Finance, 37(2), 227 - 240, 2013 | en_US |
dc.identifier.issn | 0378-4266 | - |
dc.identifier.uri | http://www.sciencedirect.com/science/article/pii/S0378426612002233 | en |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/8252 | - |
dc.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. | 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 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. | en_US |
dc.language | English | - |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.subject | Price discovery | en_US |
dc.subject | Liquidity | en_US |
dc.subject | Trading activity | 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 |
dc.identifier.doi | http://dx.doi.org/10.1016/j.jbankfin.2012.07.027 | - |
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 |
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Fulltext.pdf | 761.46 kB | Adobe PDF | View/Open |
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