Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market
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. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:419–442, 2005
Year of publication: |
2005
|
---|---|
Authors: | Gwilym, Owain Ap ; Mcmanus, Ian ; Thomas, Stephen |
Published in: |
Journal of Futures Markets. - John Wiley & Sons, Ltd.. - Vol. 25.2005, 5, p. 419-442
|
Publisher: |
John Wiley & Sons, Ltd. |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Prospective utility and time-varying optimal asset allocation for the UK : 1803 - 1995
McManus, Ian, (2009)
-
Future market liquidity under floor and electronic trading
Ap Gwilym, Owain, (2009)
-
Dynamic migration between stock portfolios based on dividend yield and firm size
McManus, Ian, (2011)
- More ...