MTS Time Series: Market and Data Description for the European Bond and Repo Database
AbstractMTS Time Series: Market and Data Description for the European Bond and Repo Database Alfonso Dufour and Frank Skinner MTS Time Series is a new source of high frequency and daily data for European fixed income markets. For the first time academic researchers and market practitioners have available a wealth of trading data for a large number of European sovereign bond markets. The database includes data on daily cash and repo trading activity and comprehensive high frequency trade and quote data. This paper discusses specific aspects of the structure of the MTS markets and illustrates the characteristics of the database. In particular, the coverage and the structure of the database are provided.
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Bibliographic InfoPaper provided by Henley Business School, Reading University in its series ICMA Centre Discussion Papers in Finance with number icma-dp2004-06.
Length: 25 pages
Date of creation: May 2004
Date of revision:
Publication status: Published in Journal of Applied Econometrics, 2006, 21:2 307-336
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- Guglielmo Maria Caporale & Alessandro Girardi, 2011.
"Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System,"
Discussion Papers of DIW Berlin
1139, DIW Berlin, German Institute for Economic Research.
- Caporale, Guglielmo Maria & Girardi, Alessandro, 2013. "Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 227-240.
- Guglielmo Maria Caporale & Alessandro Girardi, 2011. "Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System," CESifo Working Paper Series 3525, CESifo Group Munich.
- Perlin, Marcelo & Dufour, Alfonso & Brooks, Chris, 2010. "A Microstructure Model for Spillover Effects in Price Discovery: A Study for the European Bond Market," MPRA Paper 23380, University Library of Munich, Germany.
- Alessandro Girardi, 2008. "The Informational Content of Trades on the EuroMTS Platform," ISAE Working Papers 97, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
- Paola Paiardini, 2010. "The Price Impact of Economic News, Private Information and Trading Intensity," Birkbeck Working Papers in Economics and Finance 1011, Birkbeck, Department of Economics, Mathematics & Statistics.
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