| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4355 |
| DP4355 Wage Mobility: Do Institutions Make a Difference? A Replication Study Comparing Portugal and the UK | |
| Ana Cardoso | |
| 发表日期 | 2004-04-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | We study the microstructure of the MTS Global Market bond trading system. This system is the largest pan-European interdealer trading system for Eurozone government bonds. We study the volume weighted quoted spread and a variety of effective spread measures for different classes of bond maturities and issuing countries. We find that quoted and effective spreads are related to maturity and trading intensity. Estimated spreads on EuroMTS are typically slightly higher than on the domestic markets, but the difference is small in economic terms. The regression results show that order flow plays a key role in determining the price discovery in the bond market. Transitory costs are more important in markets like Italy and Belgium, which are dominated by local traders. In addition, we find a positive relationship between trading intensity and price returns, indicating findings relevant to the structure of bond markets and interdealer trading. |
| 主题 | Financial Economics |
| 关键词 | Bonds markets Microstructure Order flow |
| URL | https://cepr.org/publications/dp4355 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533308 |
| 推荐引用方式 GB/T 7714 | Ana Cardoso. DP4355 Wage Mobility: Do Institutions Make a Difference? A Replication Study Comparing Portugal and the UK. 2004. |
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