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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
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.
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