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Caporale, Guglielmo Maria and Girardi, Alessandro (2010) Price formation on the EuroMTS platform. Centre for International Capital Markets discussion papers, 2010 (02). pp. 1-12. ISSN 1749-3412
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Abstract / Description
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.
| Item Type: | Article |
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| Uncontrolled Keywords: | Centre for International Capital Markets discussion papers; CICM discussion papers; MTS system; price discovery |
| Subjects: | 300 Social sciences > 330 Economics |
| Department: | Guildhall School of Business and Law |
| Depositing User: | Mary Burslem |
| Date Deposited: | 20 Apr 2015 09:20 |
| Last Modified: | 19 May 2020 08:21 |
| URI: | https://repository.londonmet.ac.uk/id/eprint/410 |
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