Price Discovery in the Italian Sovereign Bonds Market: The Role of Order Flow

Girardi, Alessandro; Impenna, Claudio

doi:10.2139/ssrn.2259644

Cited by 31 publications

(8 citation statements)

References 156 publications

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“…But under illiquid market conditions, price discovery can also take place in the cash market as asymmetric information could be high. Girardi and Impenna (2013) investigate the role of order flows in price discovery for Italian government bonds, using data from B2B…”

Section: Literature Reviewmentioning

confidence: 99%

Price Discovery and Foreign Participation in Korea's Government Bond Cash and Futures Markets

et al. 2015

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The views expressed in this paper are those of the authors and do not necessarily reflect the views and policies of the Bank of Korea (BOK) and the Asian Development Bank (ADB) or its Board of Governors or the governments they represent. When reporting or citing this paper, the authors' names should always be stated explicitly. BOK and ADB do not guarantee the accuracy of the data included in this publication and accepts no responsibility for any consequence of their use. By making any designation of or reference to a particular territory or geographic area, or by using the term "country" in this document, BOK and ADB do not intend to make any judgments as to the legal or other status of any territory or area.

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Section: Literature Reviewmentioning

confidence: 99%

Price Discovery and Foreign Participation in Korea's Government Bond Cash and Futures Markets

et al. 2015

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“…Following the ex- 1 The bonds in our sample are: IT0003472336, IT0003618383, IT0003719918, IT0003844534 and IT0004019581 isting literature (Coluzzi et al, 2008;Girardi and Impenna, 2013) we define an on-therun security as the most recently auctioned bond of a particular maturity. It acquires the "benchmark" status when it becomes the most traded bond at that maturity for an adequate period of time 2 .…”

Section: Bond Pricesmentioning

confidence: 99%

“…These obligations are independent on the on-the-run or off-the-run status of the securities. As a consequence, the number of market makers (hence the number of quotes) is, on average, the same on the on-the-run and on the off-the-run segment and it is higher than it would have been in the absence of these obligations and monitoring (Coluzzi et al, 2008 Girardi and Impenna (2013), for example, consider as benchmark a security that has been traded more than other bonds of the same maturity for at least seven continuous working days.…”

Section: Bond Pricesmentioning

confidence: 99%

“…Moreover, the first five-minute interval of interest for the news that we consider is 8:30am. Thus, accordingly to the existing literature (Coluzzi et al, 2008;Girardi and Impenna, 2013), for the empirical investigation, we consider trading hours from 8:30am to 5:30pm. 9 During the period 2004-2005 the number of records transferred to the Treasury is occasionally and marginally different with respect to the number of records in MTS data base (Coluzzi et al, 2008).…”

Section: Bond Pricesmentioning

confidence: 99%

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The impact of economic news on bond prices: Evidence from the MTS platform

Paiardini

2014

Journal of Banking & Finance

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Although there is an extensive literature on the impact of macroeconomic announcements on asset prices, the bond market has received less attention than the foreign exchange and equity markets, even less if we consider the European market. This paper uses high-frequency intra-day data over a three-year period to investigate the impact of regularly scheduled macroeconomic news and monetary policy announcements on the returns of the Italian government bond market, the largest one in the Euro-zone. With respect to the previous papers, we use a much broader set of announcements, sixty-eight, and a relatively novel dataset (MTS). We find that twenty-five news have a significant impact on bond returns and that almost all announcements are incorporated into prices within twenty minutes from the release.JEL codes C5; G10; G14

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“… See Campbell and Hendry (2007);Girardi and Impenna (2013);Simpson and Ireland (1985); andTheissen (2012). 5 Crisis period refers to the global financial crisis of 2008/09.…”

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Price Discovery and Foreign Participation in Korea's Government Bond Futures and Cash Markets

Park¹,

Mercado

Choi

et al. 2016

Journal of Futures Markets

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This paper examines the impact of foreign participation in Korean Treasury Bond (KTB) futures and its role in price discovery, using daily transactions data from the over‐the‐counter market and from the Korea Exchange for the futures. Our analysis suggests that foreign trading in the KTB futures market leads the price discovery process for the underlying bonds. Empirical results show that foreigners’ daily net long positions in the futures market exert significant influence in KTB and KTB futures prices. We also find that it is the unexpected component of foreign investors’ net long futures positions that explains a significant share of the pricing effects. Our empirical results also suggest that information transmission between cash and futures markets has improved significantly in the crisis and post‐crisis period while local market participants have become better in extracting information content from market transactions. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:23–51, 2017

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Price Discovery in the Italian Sovereign Bonds Market: The Role of Order Flow

Cited by 31 publications

References 156 publications

Price Discovery and Foreign Participation in Korea's Government Bond Cash and Futures Markets

Price Discovery and Foreign Participation in Korea's Government Bond Cash and Futures Markets

The impact of economic news on bond prices: Evidence from the MTS platform

Price Discovery and Foreign Participation in Korea's Government Bond Futures and Cash Markets

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