The effect of auctions on daily treasury-bill volatility

Michael P. Hughes, Stanley D. Smith, Drew B. Winters

Research output: Contribution to journalArticle

4 Scopus citations

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.

Original languageEnglish
Pages (from-to)48-60
Number of pages13
JournalQuarterly Review of Economics and Finance
Volume48
Issue number1
DOIs
StatePublished - Feb 2008

Keywords

  • Daily volatility
  • Treasury auction

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