{"title":"Corrigendum to “The behaviour of betting and currency markets on the night of the EU referendum” [Int. J. Forecast. 35 (1) (2018) 371–389]","authors":"Tom Auld, Oliver Linton","doi":"10.1016/j.ijforecast.2022.12.003","DOIUrl":null,"url":null,"abstract":"<div><p>Auld and Linton (2019) studied the behaviour of the Betfair betting market and the sterling/dollar exchange rate (futures price) during 24 June 2016, the night of the EU referendum. The paper found that both markets appeared to be inefficient, but the currency market was around one hour more inefficient than the betting markets. It has subsequently been discovered that the timestamp used in the betting data was supplied in Greenwich Mean Time as opposed to British Summer Time as assumed by the authors. Updated results suggest that both markets took broadly the same amount of time to discount the public vote information. This calls into doubt the conclusion of a violation of weak market efficiency. Some smaller deviations of the rate at which the markets discount the vote are, however, identified. These were of the order of minutes, suggesting that weak market efficiency did not hold, but to a much smaller degree than first thought.</p></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":null,"pages":null},"PeriodicalIF":6.9000,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Forecasting","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0169207022001674","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 2
Abstract
Auld and Linton (2019) studied the behaviour of the Betfair betting market and the sterling/dollar exchange rate (futures price) during 24 June 2016, the night of the EU referendum. The paper found that both markets appeared to be inefficient, but the currency market was around one hour more inefficient than the betting markets. It has subsequently been discovered that the timestamp used in the betting data was supplied in Greenwich Mean Time as opposed to British Summer Time as assumed by the authors. Updated results suggest that both markets took broadly the same amount of time to discount the public vote information. This calls into doubt the conclusion of a violation of weak market efficiency. Some smaller deviations of the rate at which the markets discount the vote are, however, identified. These were of the order of minutes, suggesting that weak market efficiency did not hold, but to a much smaller degree than first thought.
期刊介绍：
The International Journal of Forecasting is a leading journal in its field that publishes high quality refereed papers. It aims to bridge the gap between theory and practice, making forecasting useful and relevant for decision and policy makers. The journal places strong emphasis on empirical studies, evaluation activities, implementation research, and improving the practice of forecasting. It welcomes various points of view and encourages debate to find solutions to field-related problems. The journal is the official publication of the International Institute of Forecasters (IIF) and is indexed in Sociological Abstracts, Journal of Economic Literature, Statistical Theory and Method Abstracts, INSPEC, Current Contents, UMI Data Courier, RePEc, Academic Journal Guide, CIS, IAOR, and Social Sciences Citation Index.
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