Efficiency of the prediction markets: case of Intrade
| Author: | Bc. David Brandejs |
|---|---|
| Year: | 2013 - summer |
| Leaders: | |
| Consultants: | |
| Work type: | Bachelors |
| Language: | Czech |
| Pages: | 55 |
| Awards and prizes: | |
| Link: | https://is.cuni.cz/webapps/zzp/detail/110916/ |
| Abstract: | Bachelor thesis con rms weak market eficiency hypothesis for political events, which took place on Intrade prediction market and nished between 1. October and 31. December 2012. Three unit root tests, ADF GLS, KPSS and Lo-Mackinlay test proved on 5% con dence level, that 140 of 191 tested political events is weakly market eficient, which means high relative market eficiency (73,3%). Testing out-of-political markets shows signi cantly lower market eficiency. Logit model rejected on 5% con dence level the assumption, that total volume of traded shares is signi cant parameter for the estimation of market eficiency. |
