This paper presents a novel statistical test for the informational efficiency of bookmakers' odds in the association football betting market. The new test has several advantages in terms of interpretation and statistical properties over the previously considered match outcome-specific tests. According to simulation experiments, the empirical size of the classical likelihood-based test statistics is satisfactory, whereas the power is dependent on the degree of market inefficiency and the sample size. A large English football dataset reveals that the efficient market hypothesis cannot be statistically rejected except for the Premier League games.
|Journal||HECER discussion papers|
|Number of pages||35|
|Publication status||Published - Jun 2014|
|MoE publication type||B1 Journal article|
Fields of Science
- 511 Economics