We explain the variation in the degree of specialness for bonds used as collateral in the Italian Government BTP repo market. Some of our results are similar to the findings in the US repo market even though the underlying Italian BTP bond market is structurally different than the US Treasury...

This study is largely motivated by the ongoing process to revise the Investment Services Directive (ISD). Perhaps the most important aspect of this process are the consequences of the repeal of Article 14(3) which allows national authorities to stipulate that retail investor orders be executed...

In 2004, the European Council and Parliament adopted a new directive on markets in financial instruments (the MiFID). The implementation of the directive in EU member states is still ongoing. We provide a framework for understanding some of the main features of this new regulatory structure. We...

We document that around 95% of the limit orders submitted to the London Stock Exchange (LSE) are cancelled in a short period of time. Based on that, we look at the intensity of limit order cancellations and the effects on market liquidity.We find that the rate of limit order cancellations...

We are the first to explore the empirical relationship between interest rates and debt supply expectations derived from Treasury press releases. We find that news on expected government bond supply affects bond yields, but only when the news is an accurate reflection of future supply. We exploit...

We study the dynamics of specialness for 1-day repo contracts on Italian Government bonds over a 10-year sample period. Our results show that collateral supply is a significant factor for specialness, along with repo liquidity, information uncertainty and short-selling proxies that reveal the...

A recent and growing body of literature suggests that not only trades are informative but other order book events like a submission or, more generally, the order book imbalance contribute to the price discovery process. In this paper, we analyze the price impact of limit order cancellations....