The Informational Content of Trades on the EuroMTS Platform

46 Pages Posted: 10 Dec 2007 Last revised: 20 Jun 2008

See all articles by Alessandro Girardi

Alessandro Girardi

National Institute of Statistics (ISTAT)

Date Written: May 2008

Abstract

This 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 evidence suggests that trades conveying information occur on EuroMTS when the level of liquidity is sufficiently high.

Keywords: European bond markets, price discovery, MTS system

JEL Classification: G10, C21, C32

Suggested Citation

Girardi, Alessandro, The Informational Content of Trades on the EuroMTS Platform (May 2008). ISAE Working Paper No. 97, Available at SSRN: https://ssrn.com/abstract=1068721 or http://dx.doi.org/10.2139/ssrn.1068721

Alessandro Girardi (Contact Author)

National Institute of Statistics (ISTAT) ( email )

Via Cesare Balbo 16
00184 Rome, 0185
Italy

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