Caporale, Guglielmo Maria; Girardi, Alessandro - In: Journal of Banking & Finance 37 (2013) 2, pp. 227-240
This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of 27months, we find a greater degree of price leadership of the dominant...