Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market
Contribuinte(s) |
School of Management & Business Centre for Empirical Finance |
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Data(s) |
07/11/2008
07/11/2008
2005
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Resumo |
ap Gwilym, Owain, McManus, Ian, and Thomas, Stephen, 'Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market', Journal of Futures Markets (2005) 25(5) pp.419-442 RAE2008 This paper analyses the impact of a move from fractional to decimal pricing in the UK Long Gilt futures market, and thus offers a unique insight to tick size reduction and decimalization in a derivatives market setting. The reduced tick size leads to an increase in price clustering. The bid-ask spread, measured in ticks, increases following the tick size reduction. However, due to a reduced tick value, the monetary value of the spread declines. There is a substantial reduction in mean trade size as reduced-depth orders become trades. The mean daily number of transactions increases, which is entirely consistent with increased volume and decreased mean trade size. Peer reviewed |
Formato |
24 |
Identificador |
McManus , I , ap Gwilym , O & Thomas , S 2005 , ' Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market ' Journal of Futures Markets , vol 25 , no. 5 , pp. 419-442 . DOI: 10.1002/fut.20149 1096-9934 PURE: 82516 PURE UUID: bbf1144d-878d-4199-87bd-9dc95002b499 dspace: 2160/922 |
Idioma(s) |
eng |
Relação |
Journal of Futures Markets |
Tipo |
/dk/atira/pure/researchoutput/researchoutputtypes/contributiontojournal/article Article (Journal) |
Direitos |