We analyse a change in the degree of transparency of MTS, the electronic inter-dealer market for Italian Government bonds, namely the July 1997 move to the anonymity of quotes. Our evidence supports the hypothesis that a decrease in transparency makes liquidity traders worse-off, whereas...

This paper analyzes the uniform price auctions for Italian Treasury securities in 1995-1996 and examines the revenue-efficiency of the auction mechanism, employing an extremely detailed dataset which includes all transactions made by the 41 primary dealers on the screen-based secondary market...

I examine causality and efficiency in the Italian Treasury bond market, where cash trades take place on the domestic Mercato dei Titoli di Stato, while futures trading is based on the London International Financial Futures Exchange. I find evidence that causality in prices runs in both...

This paper analyzes the uniform price auctions for Italian Treasury securities in 1995-1996 and examines the revenue-efficiency of the auction mechanism, employing an extremely detailed dataset which includes all transactions made by the 41 primary dealers on the screen-based secondary market...