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

Autor: Christoph Fricke and Lukas Menkhoff
Nummer: 449, May 2010, pp. 49
JEL-Class: G14, G23, D85

Abstract:
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.

Zusammenfassung:
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