An analysis of the performance of the Indonesian treasuries market

This thesis examines the performance of the discriminatory-price auction relative to the uniform-price auction in the Indonesian treasuries’ market. Employing a counterfactual analysis, it derives optimal bidding conditions for both auction methods. For a large sample of Islamic (Sukuk) and conventional treasury bill auctions between 2003 and 2017, the results show that switching from a discriminatory-price auction to a uniform-price auction is expected to improve both auction revenue and efficiency. These benefits are especially pronounced during times of high market uncertainty, but decline with the level of bidder competition