deeper and more accurately these two findings by taking Italy as a case study. Our results question the so-called auction …

secondary market at the day of the auction. Using intraday data from the Mercato Telematico dei titoli di Stato (MTS), I find … evidence of an intraday pronounced inverted V-Shape on the yield difference, which goes up with a maximum at the auction time …, and then recovers more than two hours after. This "auction effect" is significant for the Italian bonds and for the 10Y …