Does the 'Bund' dominate price discovery in Euro bond futures? Examining information shares

Arbeitspapier

This paper examines the relative information shares of the Bund, i.e. the ten-year Euro bond future contract on German sovereign debt, versus two futures with shorter maturity. We find that the Bund is most important but does not dominate price discovery. The other contracts also have relevant - and at many days even higher - information shares. In examining determinants of information shares, we add order flow measures to market state variables and macroeconomic news. More order flow in a contract consistently increases this contract's information share.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Diskussionsbeitrag ; No. 449

Classification and Topics

• Classification: Wirtschaft ; Information and Market Efficiency; Event Studies; Insider Trading ; Contingent Pricing; Futures Pricing; option pricing ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: Bond futures ; information shares ; price discovery ; order flow ; macroeconomic news ; Zinstermingeschäft ; Öffentliche Anleihe ; Börsenkurs ; Informationswert ; Informationsverbreitung ; Effizienzmarktthese ; Schätzung ; Deutschland

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Fricke, Christoph ; Menkhoff, Lukas
• Event: Veröffentlichung
• (who): Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
• (where): Hannover
• (when): 2010

Further information

• Handle: http://hdl.handle.net/10419/38750
• Last update: 10.03.2025, 11:42 AM CET