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...

I estimate a two-equation system on the Czech koruna-euro exchange rate and order flow at hourly frequency with transactions data from the Reuters Spot Matching market in the second half of 2002, during which the Czech National Bank intervened to stem the appreciation of the koruna. I find a...

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...

The model of Foster-Viswanathan (1990, FV) predicts that information heterogeneity among market participants generates patterns in volume, trading costs and volatility. In the Italian Treasury bond market, periodic information asymmetry is related to the arrival of block orders from...