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|Title:||Price formation on the EuroMTS platform|
|Keywords:||MTS system;Price discovery|
|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|
|Appears in Collections:||Economics and Finance|
Dept of Economics and Finance Research Papers
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