Caporale, Guglielmo Maria and Girardi, Alessandro (2011) Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2011 (26). pp. 1-41.
CentreforEMEABankingFinanceAndEconomicsWorkingPaperSeries No.26 11.pdf - Published Version
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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 twenty-seven 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.
|Uncontrolled Keywords:||Centre for EMEA Banking, Finance and Economics Working Paper Series, Price discovery, liquidity, MTS system.|
|Subjects:||300 Social sciences > 330 Economics|
|Department:||Guildhall School of Business and Law|
|Depositing User:||David Pester|
|Date Deposited:||21 Apr 2015 13:45|
|Last Modified:||21 Apr 2015 13:45|
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