The behaviour of betting and currency markets on the night of the EU referendum ( vol 35 pg , 371 , 2018)

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.(c) 2022 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.