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 …

with these predictions, meetings between the Treasury and primary dealers, as well as auction announcements, explain a 2 …

with these predictions, meetings between the Treasury and primary dealers, as well as auction announcements, explain a 2 …

This study provides new evidence on the relationship between unconventional monetary policy and auction cycles in the … public debt auctions. The findings indicate that Eurosystem's asset purchase flows mitigate yield cycles during auction … periods and counteract the amplification impact of market volatility. The dampening effect of central bank asset purchases on …

-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a … the pre-opening period, and contribute significantly to market quality in the pre-opening period, the opening auction that …

The National Stock Exchange of India Ltd (NSE) introduced opening Call Auction (CA) on 18th October 2010 on Nifty …

breakers is necessary to ensure their effectiveness. In doing so, we analyze 2,337 volatility interruptions on Deutsche Boerse … and research whether a volume migration and an accompanying volatility spillover to alternative venues that continue … decreases during circuit breakers on the main market and we do not find any evidence for volatility spillover. Moreover, we show …