In the book tiful game theory: How Soccer Can Help Economics), the author proved this hypothesis in a strange way, which is worth seeing by all investors.
Second, a perfect effective market model
The effectiveness of the market has always been considered a hypothesis that is difficult to verify. This hypothesis relies on three strict conditions:
1. Investors are using information as much as possible to obtain higher returns;
2. A sufficient number of investors, investors respond quickly and accurately to new information;
3. Decisions to buy and sell based on information, there is no market manipulation.
Even the most mature market cannot satisfy the second point. A large number of individual investors are unable to obtain information. Trading decisions are dependent on the current stock price fluctuations, chasing the rise and fall, especially for A shares, where retail trading volume has 70%.
If such a market does not exist at all, then “market effectiveness” has always been a hypothesis. But a few years ago, a British economist really found such a market-football betting.
What does football betting have to do with financial markets?
The football betting industry perfectly meets the second and third conditions of the “efficient market hypothesis”: the results of football betting are obvious, the information is closed, and everyone has the ability to bet based on the information they have, and there are Enough views of different fans.
The economist studied the betfair(Betfair) website-a gambling market that allows real-time transactions.
GamblingThe price of buying and selling is the odds. You can buy the odds opened by others. If there is no suitable one, you can also open an odds yourself. The buying orders of all the odds are public, just like stock trading orders.
Fans can see all current relevant information, as well as bet trading volume, trend charts, etc. You see, the fundamentals and technical aspects are all there, it is a mini financial trading market, and all the games are isolated Yes, it is more convenient to study.
Does the conclusion confirm this theory?
3. A magical 15-minute intermission
To prove “market effectiveness”, you only need to prove two things:
1. Once the market has new information, it will immediately fully reflect the stock price
2. As long as there is no new information, the price will not change
These two points cannot be verified in the stock market at all, because stocks correspond to the real economy. Factors such as corporate products and channels are changing every day. The liquidity in the macro market is changing every day, and you can’t verify the stock price. Is the change triggered by this information or caused by the blind buying and selling of the investors themselves.
The Betfair website can do it.
The information about gambling comes from the game, and it is very simple. It is nothing more than limited data such as the number of goals scored by both sides, the time of possession, the number of free throws, and so on.
Fans can place a bet while watching the ball. You can see that the bet changes completely with the changes in the game scene. If a team scores a goal, its odds will suddenly drop-that is, the probability of winning suddenly rise.
However, the gambling game is not completely affected by instant messaging.
Assuming that Manchester United led by one goal at the start, but because the goal was too early, its impact on the entire gameIt’s not big, and the odds of winning won’t drop much. But if the score is still the same in the second half, its odds should gradually decline-but the problem is that there are constantly new information on the court, how can we judge that the decline in odds is old information(Manchester United leads by one goal) Or is it caused by new information?
Scientific research should eliminate all irrelevant influencing factors as much as possible. Fortunately, Betfair’s brilliant design mechanism perfectly solves the above problems. Betfair stipulates that if a team scores a goal, the trading system will be suspended, and all outstanding odds orders (equivalent to pending orders) will be all After being emptied, all fans need to place new orders based on the current situation.
So economists set a specific scenario-a team scored a goal before the end of the first half, and then entered a 15-minute intermission.
Why can this scenario verify the effectiveness of the market?
1. If “as soon as the market has new information, it will immediately reflect on the information”, then the odds should be changed in one step;
2. If “as long as there is no new information, there will be no changes in the price”, then the odds should hardly change during the 15 minutes of midfield.
As a result, the researchers found 80 games in which a goal was scored within one minute before the end of the first half, and studied the odds changes from the time after the goal was scored to the intermission. The results perfectly verified the “effective market hypothesis”.
Take a match between Manchester United and Tottenham as an example. Manchester United scored a goal half a minute before the end of the first half, the trading system was suspended, the order was cleared, and the probability of winning instantly rose from less than 50% to a stable position. At 77%, the first half ended.
It’s amazing that 1In 5 minutes, there was no new news in the field, and the transaction continued, but the probability of Manchester United winning in these 15 minutes was completely fixed at 77%.
In these fifteen minutes, the transaction volume was even higher than that in the morning. There were both betting on Manchester United’s big win, and also betting on Tottenham’s reversal. However, after matching, the final market transaction odds have been fixed at one position.
This 15-minute transaction is worthy of investors’ thinking. In the stock market, after a company’s stock price rises or falls due to sudden news, there will usually be violent fluctuations. I guess there are two reasons for this:
1. The interpretation of information in the stock market is much more complicated than gambling, including the strength of the positive and the negative, whether it is in line with expectations or not as expected, and even whether it is positive or negative is controversial;
2. Although trading orders of different views can be mutually offset, a large number of trend trading, T+0, and quantitative trading may amplify the intensity of shocks, which are not available in gambling.
But anyway, this research, especially the fifteen-minute one-line transaction trend, proves that the “efficient market hypothesis” exists.
What enlightenment will this research result give our investment? Let’s do a mind experiment.
four, information black box company
Suppose there is a listed company, and no other company in its industry is listed, that is, there is no sector effect, no one can see its products in the market, and there is no news from the upstream and downstream of the industry chain. You can only understand (of course such a company does not exist) through the company’s regular reports.
In other words, after the company issued a regular report, it entered the “information black box period” without any news, but the stock was still trading. Then according to the “effective marketEffectiveness makes future money, and it can also make current money through the “temporary failure” of the market. In the next issue, I want to talk about how to find an effective market and a market that is in “temporary failure” through some research by another economist.
This article is from WeChat official account:Thinking stamp (ID: sxgy9999)< span class = "text-remarks">, author: God people were excited