An examination of information efficiency in financial markets, with special reference to British racetrack betting markets

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Vaughan Williams, L. ORCID: 0000-0002-9639-9217, 1997. An examination of information efficiency in financial markets, with special reference to British racetrack betting markets. PhD, Nottingham Trent University.

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Abstract

The issue of economic efficiency has, for many years, been at the heart of a great deal of economic theory and analysis. An aspect of economic efficiency which has occupied a growing place in the literature on financial markets is information efficiency, i.e. the extent to which markets incorporate available relevant information. This thesis traces the development of the idea of informationally efficient markets, and identifies the various precise definitions and variations of the concept extant in the literature on financial markets. The theoretical background is clarified, and empirical tests of information efficiency are reviewed and evaluated.

Information efficiency is also central to much of the literature in the field of betting markets. This research programme aims, therefore, within the context of an examination of information efficiency generally, to examine specifically the conduct and performance of those active in British horse race betting markets.

The first stage of this analysis involves an extensive survey of the existing literature on information efficiency as it applies to financial markets, betting markets and most specifically British betting markets.

To test and build upon the conclusions of earlier research, a large new database of information relating to British betting markets has been collected and collated. The data sets have been broken down into sub-periods and include extensive information on a large number of characteristics relevant to these markets.

A selection of the recommendations of professional forecasting services have also been collected and collated, and the performance of these has been monitored and assessed. Tests performed in other studies on previous data are, where appropriate, adapted and tested on the current data set, and a number of new tests are proposed and applied.

The aim of this research, therefore, is to add to our understanding of betting markets in particular and financial markets more generally. This requires an examination of the availability of information to market participants and where appropriate, the relative availability of such information to different subsets of those active in the market. As a result it is possible to assess the degree to which such markets are or can be informationally efficient as variously defined.

Item Type:

Thesis

Creators:

Vaughan Williams, L.

Date:

1997

ISBN:

9781369325218

Identifiers: