Price Formation on the EuroMTS Platform
16 Pages Posted: 3 May 2010
Date Written: February 2010
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.
Keywords: MTS system, price discovery
JEL Classification: C32, G10
Suggested Citation: Suggested Citation