The Informational Content of Trades on the EuroMTS Platform
AbstractThis paper presents unambiguous evidence that trading European government securities on EuroMTS contributes to determine their (unobservable) efficient price. Using twenty-seven months of daily transaction prices data for 107 bonds issued by eleven European governments, the estimated EuroMTS market’s contribution to price discovery is about 20 percent, on average. Further, the amount of price discovery turns out to be strongly related to trading activity and price volatility conditions even controlling for institutional factors and for the maturity of bonds. Overall, the empirical results suggest that trades conveying information occur on EuroMTS when the level of liquidity is sufficiently high.
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Bibliographic InfoPaper provided by ISTAT - Italian National Institute of Statistics - (Rome, ITALY) in its series ISAE Working Papers with number 97.
Length: 46 pages
Date of creation: May 2008
Date of revision:
European bond markets; price discovery; MTS system.;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-07-05 (All new papers)
- NEP-EEC-2008-07-05 (European Economics)
- NEP-MST-2008-07-05 (Market Microstructure)
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