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)

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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

Guglielmo Maria Caporale (Contact Author)

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

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London South Bank University ( email )

Centre for Monetary and Financial Economics
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CESifo (Center for Economic Studies and Ifo Institute)

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

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Germany

Alessandro Girardi

National Institute of Statistics (ISTAT) ( email )

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00184 Rome, 0185
Italy

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