Exchange vs Dealers: A High-Frequency Analysis of In-Play Betting Prices
AbstractWe conduct the first high-frequency comparison of pricing behaviour in betting markets making use of a novel dataset of prices from the UK's two largest bookmakers and the world's largest betting exchange. We investigate price competitiveness, finding that the betting exchange structure offers customers superior returns and substantial liquidity. Given the persistence of large bookmakers, we speculate that switching costs (e.g. learning costs) must be significant. We also compare information arrival in betting markets across these two market structures. We find some support for the hypothesis that the betting exchange leads price discovery, with traditional bookmakers following.
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Bibliographic InfoPaper provided by Department of Economics, University of Birmingham in its series Discussion Papers with number 11-19.
Length: 45 pages
Date of creation: Dec 2011
Date of revision:
Information; market efficiency; gambling;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- D0 - Microeconomics - - General
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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