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Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares

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  • Fricke, Christoph
  • Menkhoff, Lukas

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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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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Web page: http://www.elsevier.com/locate/jbf

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

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Cited by:
  1. Chen, Yu-Lun & Gau, Yin-Feng, 2014. "Asymmetric responses of ask and bid quotes to information in the foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 194-204.

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