Title

The Effect Of Auctions On Daily Treasury-Bill Volatility

Keywords

Daily volatility; Treasury auction

Abstract

We investigate the T-bill market for volatility effects with a focus on any volatility introduced by the T-bill auction process. We find that T-bill volatility is not constant across a run, but is also not high at both the beginning and end of the run. We find that for 52-week T-bills, issue-weeks demonstrate greater volatility than non-issue-weeks at the end of a run. We also find that all three T-bill series exhibit higher volatility on the day they begin to trade in the when-issued market, as opposed to the their day of issue. © 2006 Board of Trustees of the University of Illinois.

Publication Date

2-1-2008

Publication Title

Quarterly Review of Economics and Finance

Volume

48

Issue

1

Number of Pages

48-60

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1016/j.qref.2006.02.009

Socpus ID

38649094299 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/38649094299

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