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dc.contributor.author McManus, Ian
dc.contributor.author ap Gwilym, Owain
dc.contributor.author Thomas, Stephen
dc.date.accessioned 2008-11-07T12:13:01Z
dc.date.available 2008-11-07T12:13:01Z
dc.date.issued 2005
dc.identifier.citation 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 . , 10.1002/fut.20149 en
dc.identifier.issn 1096-9934
dc.identifier.other PURE: 82516
dc.identifier.other dspace: 2160/922
dc.identifier.uri http://hdl.handle.net/2160/922
dc.description 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 en
dc.description.abstract 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. en
dc.format.extent 24 en
dc.language.iso eng
dc.relation.ispartof Journal of Futures Markets en
dc.title Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market en
dc.type Text en
dc.type.publicationtype Article (Journal) en
dc.identifier.doi http://dx.doi.org/10.1002/fut.20149
dc.contributor.institution School of Management & Business en
dc.contributor.institution Centre for Empirical Finance en
dc.description.status Peer reviewed en


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