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Information shares and market quality before and during the European sovereign debt crisis

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  • Papavassiliou, Vassilios G.
  • Kinateder, Harald

Abstract

We investigate information shares in the price discovery process in the euro-area sovereign bond market across the yield curve, during both calm and crisis periods. We employ a rich high-frequency dataset from the MTS platform. We find that price discovery is enhanced, on average, especially for periphery countries during the European sovereign debt crisis however, increases in information shares are not uniform across the yield curve. We further show that no particular market leads the price formation process across all maturity segments. We find a clear improvement in market quality for core countries (Germany and the Netherlands) but mixed results for periphery countries (Italy and Spain) in the crisis period.

Suggested Citation

  • Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    • Handle: RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000536
    DOI: 10.1016/j.intfin.2021.101334
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    9. Vassilios G. Papavassilioua & Fan Dora Xiab, 2024. "Liquidity in the euro-area sovereign bond market during the “dash for cash” driven by the COVID-19 crisis," Working Papers 202406, Geary Institute, University College Dublin.

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    More about this item

    Keywords

    Price discovery; Information shares; Sovereign bond markets; European debt crisis; High-frequency data; Market quality;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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