Price Formation on the EuroMTS Platform
17 Pages Posted: 17 Feb 2010
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Price Formation on the EuroMTS Platform
Price Formation on the EuroMTS Platform
Date Written: February 2010
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.
Keywords: MTS system, price discovery
JEL Classification: C32, G10
Suggested Citation: Suggested Citation
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