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Abstract

This paper examines the relative information shares of the Bund, i.e. the 10-year Euro bond future contract on German sovereign debt, versus two futures with shorter maturity. We find that the Bund is most important but does not dominate price discovery. The other contracts also have relevant - and at many days even higher - information shares. In examining determinants of information shares, we add order flow measures to market state variables and macroeconomic news. More order flow in a contract consistently increases this contract's information share.

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File URL: http://www.sciencedirect.com/science/article/B6VCY-512K1RF-2/2/d28653e79909163bcb941493280d6a78
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 35 (2011)
Issue (Month): 5 (May)
Pages: 1057-1072

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Handle: RePEc:eee:jbfina:v:35:y:2011:i:5:p:1057-1072

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Related research

Keywords: Bond futures Information shares Price discovery Order flow Macroeconomic news;

Other versions of this item:

Find related papers by JEL classification:

• G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
• G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
• D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation

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