The Effect of Auctions on Daily Treasury-bill Volatility

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.