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Contribution Details
| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | Liquidity, Market Efficiency and the Influence of Noise Traders: Quasi-Experimental Evidence from the Betting Industry |
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| Institution | University of Zurich |
| Series Name | UZH Business Working Paper Series |
| Number | 341 |
| ISSN | 2296-0422 |
| Number of Pages | 31 |
| Date | 2013 |
| Abstract Text | This paper examines how liquidity affects market efficiency in a market environment where securities' fundamental values are revealed at a predetermined point in time. We employ differences in minimum tick sizes at the betting exchange Betfair which induce exogenous variation in liquidity. The results show that liquidity significantly decreases market efficiency for bets on weekend matches but not for bets on weekday matches. As uninformed noise bettors are more likely to bet on weekends than on weekdays, the type of liquidity seems to matter for market efficiency. |
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