Working Paper
Price Formation on the EuroMTS Platform
Guglielmo Maria Caporale, Alessandro Girardi
CESifo, Munich, 2010
CESifo Working Paper No. 2938
CESifo, Munich, 2010
CESifo Working Paper No. 2938
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.
CESifo Category
Monetary Policy and International Finance
Monetary Policy and International Finance
Keywords: MTS system, price discovery
JEL Classification: C320,G100