Work detail

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.

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance