Abstract
The study has attempted to empirically examine the efficiency of Govt. securities auction in Indian market. It is observed that prices of the securities under auction generally move downward between the date of announcement of auction and the date of auction. The yield, duration, issue size, outstanding stocks of the security under auction have significant impact of the price changes of auctioned securities. Introduction of an open limit order book system for Government securities market has been found to be statistically significant. Before the introduction of limit order book system, the average price change was 1.89% while after introduction of limit order book system, the same came down drastically to 0.87%.
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