Matches in SemOpenAlex for { <https://semopenalex.org/work/W2103181370> ?p ?o ?g. }
- W2103181370 abstract "This paper analyses the price discovery process and the informational role of trading in the Italian wholesale secondary markets for Treasury bonds: the business-to-business (B2B), interdealer and quote driven MTS cash and the business-to-consumer (B2C), order driven BondVision trading venues. Using daily data for a representative set of fixed rate government bonds over the period January 2007 - February 2012, we find that the B2C dealer-to-customer market contributes to the process of price formation to a greater extent than the B2B interdealer platform. The informational role of trading is found to be considerable: order flow is a key variable in the process of price formation and appears to continuously act on a cross market basis. Moreover, the explanatory role of order flow turns out to be stronger when liquidity conditions are poorer." @default.
- W2103181370 created "2016-06-24" @default.
- W2103181370 creator A5031684019 @default.
- W2103181370 creator A5034310995 @default.
- W2103181370 date "2013-01-01" @default.
- W2103181370 modified "2023-10-06" @default.
- W2103181370 title "Price Discovery in the Italian Sovereign Bonds Market: The Role of Order Flow" @default.
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