Cointegration Analysis of Behavioral Issues in the Auctioning of Treasury Bills in Tanzania

Ellinami J Minja ()
Additional contact information
Ellinami J Minja: University of Dar es Salaam

The African Finance Journal, 2010, vol. 12, issue Conference Issue, 58-74

Abstract: The discriminatory auction system elicits some behaviors from the bidders. While bidders quoting high prices are prone to suffer the winner’s curse, low prices can signal bid shedding or even collusion among bidders. Based on 8-year weekly observations of auction results of treasury securities in Tanzania, we use cointegration to establish the behavior of yields obtained (or quoted) by different bidder categories. The results not only suggest Granger-causality among the lowest, lowest successful and highest bid price series but also that they are generated by similar processes. Lowering of the bid size also led to better cointegration of the yields.

Keywords: Treasury bills auction; Bidding behavior; Cointegration; Bank of Tanzania (search for similar items in EconPapers)
JEL-codes: E43 E47 (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.journals.co.za/ej/ejour_finj.html (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:afj:journl:v:12:y:2010:i:conference:p:58-74

Access Statistics for this article

More articles in The African Finance Journal from Africagrowth Institute Contact information at EDIRC.
Bibliographic data for series maintained by Kirk De Doncker ().