Price Formation on the EuroMTS Platform
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- Guglielmo Maria Caporale & Alessandro Girardi, 2011. "Price formation on the EuroMTS platform," Applied Economics Letters, Taylor & Francis Journals, vol. 18(3), pages 229-233.
- Guglielmo Maria Caporale & Alessandro Girardi, 2010. "Price Formation on the EuroMTS Platform," CESifo Working Paper Series 2938, CESifo.
References listed on IDEAS
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The Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 925-957, March.
- Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2009. "Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market," The Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 925-957.
- Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2006. "Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market," NBER Working Papers 12376, National Bureau of Economic Research, Inc.
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Citations
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Cited by:
- Caporale, Guglielmo Maria & Girardi, Alessandro & Paesani, Paolo, 2012.
"Quoted spreads and trade imbalance dynamics in the European Treasury bond market,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 173-182.
- Guglielmo Maria Caporale & Alessandro Girardi & Paolo Paesani, 2010. "Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market," Discussion Papers of DIW Berlin 1080, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Alessandro Girardi & Paolo Paesani, 2010. "Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market," CESifo Working Paper Series 3281, CESifo.
- 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.
- 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.
- Daragh Clancy & Peter G. Dunne & Pasquale Filiani, 2019.
"Liquidity and tail-risk interdependencies in the euro area sovereign bond market,"
Working Papers
41, European Stability Mechanism.
- Clancy, Daragh & Dunne, Peter G. & Filiani, Pasquale, 2019. "Liquidity and tail-risk interdependencies in the euro area sovereign bond market," Research Technical Papers 11/RT/19, Central Bank of Ireland.
- Andrea Coppola & Alessandro Girardi & Gustavo Piga, 2013.
"Overcrowding Versus Liquidity In The Euro Sovereign Bond Markets,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 18(4), pages 307-318, October.
- Andrea Coppola & Alessandro Girardi & Gustavo Piga, 2012. "Overcrowding Versus Liquidity in the Euro Sovereign Bond Markets," CEIS Research Paper 222, Tor Vergata University, CEIS, revised 20 Feb 2012.
- Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2015. "Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?," SAFE Working Paper Series 95, Leibniz Institute for Financial Research SAFE.
- Eisl, Alexander & Ochs, Christian & Staghøj, Jonas & Subrahmanyam, Marti G., 2022. "Sovereign issuers, incentives and liquidity: The case of the Danish sovereign bond market," Journal of Banking & Finance, Elsevier, vol. 140(C).
- Schneider, Michael & Lillo, Fabrizio & Pelizzon, Loriana, 2016. "How has sovereign bond market liquidity changed? An illiquidity spillover analysis," SAFE Working Paper Series 151, Leibniz Institute for Financial Research SAFE.
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More about this item
Keywords
MTS system; price discovery;JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2010-03-06 (European Economics)
- NEP-IFN-2010-03-06 (International Finance)
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