The ex-interest behaviour of UK gilt prices
โ Scribed by Hodgkinson, Lynn; Wells, Jo
- Book ID
- 121471260
- Publisher
- Taylor and Francis Group
- Year
- 2009
- Tongue
- English
- Weight
- 137 KB
- Volume
- 19
- Category
- Article
- ISSN
- 0960-3107
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
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 spre
Using daily settlement prices for a range of real and ยฎnancial futures over the period 6 April 1981ยฑ31 October 1995, this paper considers the extent to which, ex post, asset prices depart from random behaviour and investigates the efยฎciency of the markets within which the prices of the assets are de