Euro.NM Paris : un marché dirigé par les fixings?
(2000) Banque & Marches — Vol. 46, p. 5-14 (2000)
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- Abstract
- (en) In this empirical paper, two years of activity on the French Euro.NM market are analyzed. First, we present some statistics of trading, both during the fixings and the continuous market. Then, the interaction between the two types of transactions are investigated, by means of volumes, prices and spreads. Although the market is very young, we can conclude that there is a positive relation between trading activity during the fixings and the continuous market, and that market making is mainly used for block trading, with transactions prices at the mid prices. This last finding is quite unusual in a dealer market and is a specificity of the hybrid structure of Euro.NM Paris, that could be called a «fixing driven market ».
- Affiliations
Louvain School of Management Accounting & Finance
Citations
De Winne, R., François-Heude, A., & Platten, I. (2000). Euro.NM Paris : un marché dirigé par les fixings? Banque & Marches, 46, 5-14. https://hdl.handle.net/2078.5/129496 (Original work published 2000)