Price Formation on the EuroMTS Platform

17 Pages Posted: 17 Feb 2010

See all articles by Guglielmo Maria Caporale

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute); German Institute for Economic Research (DIW Berlin)

Alessandro Girardi

National Institute of Statistics (ISTAT)

Multiple version iconThere are 2 versions of this paper

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

Caporale, Guglielmo Maria and Girardi, Alessandro, Price Formation on the EuroMTS Platform (February 2010). CESifo Working Paper Series No. 2938, Available at SSRN: https://ssrn.com/abstract=1553625 or http://dx.doi.org/10.2139/ssrn.1553625

Guglielmo Maria Caporale (Contact Author)

Brunel University London - Department of Economics and Finance ( email )

Kingston Lane
Marie Jahoda Building
Uxbridge, Middlesex UB8 3PH
United Kingdom
+44 1895 266713 (Phone)
+44 1895 269770 (Fax)

HOME PAGE: http://www.brunel.ac.uk/about/acad/bbs/bbsstaff/ef_staff/guglielmocaporale/

London South Bank University ( email )

Centre for Monetary and Financial Economics
London
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstraße 58
Berlin, 10117
Germany

Alessandro Girardi

National Institute of Statistics (ISTAT) ( email )

Via Cesare Balbo 16
00184 Rome, 0185
Italy

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
90
Abstract Views
864
Rank
366,852
PlumX Metrics