Pre-heat oven to 500°F.
In a medium-sized skillet, heat 1 tablespoon of the butter. Add the shallot and cook over medium heat for about 2 minutes, until they are lightly browned.
Add the anchovies and use the back of a fork to rub them into the shallots. Cook for about another 1 to 2 minutes.
Add the wine and cook for 1 minute.
Add the chicken stock and increase the heat to high and bring to a boil. Let cook for 2 minutes.
Reduce heat to medium and add remaining butter, one tablespoon at a time, whisking often, until the sauce thickens a little.
Stir in the capers, basil and parsley. Season with a pinch of salt and pepper. Cover and remove from heat.
Cut the ends off of the loaf of bread, and the sides, too, until you have a rectangular loaf of bread. Cut the loaf into 5 or 6 1/4-inch to 1/2-inch slices.
Place the bread slices in the oven directly on the rack and toast them for about 5 minutes, until lightly browned. Remove from the oven.
Using the cut side of the garlic, rub it all over both sides of each toasted slice of bread.
Place one slice of bread on a cutting board and place a slice of the thick-cut mozzarella on the bread. Repeat this process, ending with the last piece of bread.
Spear the sandwich with a wooden (or metal) skewer and push all the way through so it will hold in place while it bakes.
Transfer to a shallow baking pan and place in the oven for 16 minutes. Use oven mitts and tongs to rotate the sandwich once every 4 minutes. (Some of the cheese will melt out of the sandwich, but that's okay, just push it back into place with a fork or spoon).
Transfer the spiedini to a serving platter, remove the skewer, and pour the warm sauce all over it.
You can cut the spiedini into individual servings, or serve as is, and let guests pull apart their own portion.