Price formation on the EuroMTS platform
This article examines the process of price discovery in the Mercato Telematico dei Titoli di Stato (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 27 months of daily data for 107 pairs of bonds, we present unambiguous evidence that trades on EuroMTS have a sizeable informational content.
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Volume (Year): 18 (2011)
Issue (Month): 3 ()
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