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
Abstract:
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)
Date: 2019
References: Add references at CitEc
Citations:
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940818300342
Full text for ScienceDirect subscribers only
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:eee:ecofin:v:47:y:2019:i:c:p:406-430
DOI: 10.1016/j.najef.2018.06.004
Access Statistics for this article
The North American Journal of Economics and Finance is currently edited by Hamid Beladi
More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).