This paper analyses campaign dynamics in
the 2014 Scottish independence referendum by integrating time-stamped polling
releases with highly granular evolving price data created by online political
gambling markets. Our analysis models the relationship between poll releases
and prices available on a Yes result, allowing us to measure the extent to
which the release of each new poll represented an informational ‘shock’. We
then seek to control for polling shocks in order to isolate and analyse the
effects of key campaign events; combining a multivariate time series analysis
with confirmatory testing based on a micro-analysis of the movement in gambling
prices in the minutes and hours following these events. We conclude that the
second leaders’ debate between Alex Salmond and Alistair Darling was the most influential
event of the campaign, initiating a surge in the Yes side’s estimated
probability of victory.