1096-9934/asset/FUT_centre.gif?v=1&s=b9403f6f72b62fa7e6ad26fdb5c3fed9e5ae0393)
Research Article
Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market
Article first published online: 16 MAR 2005
DOI: 10.1002/fut.20149
© 2005 Wiley Periodicals, Inc.
1096-9934/asset/cover.gif?v=1&s=127934b27fe5373f5a82393587f60fd7f50e7c6f "Journal of Futures Markets")
Additional Information
How to Cite
Gwilym, O. A., Mcmanus, I. and Thomas, S. (2005), Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market. J. Fut. Mark., 25: 419–442. doi: 10.1002/fut.20149
Publication History
- Issue published online: 16 MAR 2005
- Article first published online: 16 MAR 2005
- Manuscript Accepted: AUG 2004
- Manuscript Received: JUN 2003
- Abstract
- References
- Cited By
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. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:419–442, 2005