Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/5109
Title: Price formation on the EuroMTS platform
Authors: Caporale, GM
Girardi, A
Keywords: MTS system;Price discovery
Issue Date: 2009
Publisher: Brunel University
Citation: Economics and Finance Working Paper, Brunel University, 09-41
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
URI: http://bura.brunel.ac.uk/handle/2438/5109
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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