Erschienen in:DIW Berlin Discussion Paper ; No. 977
Umfang:
1 Online-Ressource (16 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.1598217
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2010 erstellt
Beschreibung:
This paper examines the process of price discovery in the 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 twenty-seven months of daily data for 107 pairs of bonds, we present unambiguous evidence that trades on EuroMTS have a sizeable informational content