Sovereign bond markets when auctions take place: Evidence from Italy
Gianluca Cafiso ()
The North American Journal of Economics and Finance, 2019, vol. 47, issue C, 406-430
Auctions of sovereign bonds are found to influence the market yield days before they take place and underpricing is usually spotted when their outcome is compared with contemporaneous market quotes. The objective of our research is to investigate deeper these two findings, by considering also the underlying macroeconomic conditions. We study Italy, which is one of the world’s largest debt issuers. Our results suggest that the so-called auction cycle emerges only at times of high volatility and they do not signal underpricing when an exact matching between the auctioned bond and the market quote used is ensured.
Keywords: Primary market; Secondary market; MTS market; Treasury auctions; Sovereign bonds; Market micro-structure (search for similar items in EconPapers)
JEL-codes: E02 E43 E44 G12 G14 G18 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:47:y:2019:i:c:p:406-430
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