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Testing the random walk hypothesis: evidence for the Budapest stock exchange

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  • E. Dockery
  • F. Vergari
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    Abstract

    Variance ratio tests with both homoscedastic and heteroscedastic error variances are used to examine the random walk hypothesis for the Budapest stock exchange. Our empirical findings show that the Budapest stock exchange is a random walk market, which is quite different from those described in the literature on both developed, smaller and emerging capital markets.

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    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/758533288&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

    Volume (Year): 4 (1997)
    Issue (Month): 10 ()
    Pages: 627-629

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    Handle: RePEc:taf:apeclt:v:4:y:1997:i:10:p:627-629

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    Cited by:
    1. Jan Hájek, 2007. "Czech Capital Market Weak-Form Efficiency, Selected Issues," Prague Economic Papers, University of Economics, Prague, vol. 2007(4), pages 303-318.
    2. Omay, Nazli C. & Karadagli, Ece C., 2010. "Testing Weak Form Market Efficiency for Emerging Economies: A Nonlinear Approach," MPRA Paper 27312, University Library of Munich, Germany.
    3. Jorge Caiado, 2004. "Modelling And Forecasting The Volatility Of The Portuguese Stock Index Psi-20," Portuguese Journal of Management Studies, ISEG, Technical University of Lisbon, vol. 0(1), pages 3-21.
    4. Ben Rejeb, Aymen & Boughrara, Adel, 2013. "Financial liberalization and stock markets efficiency: New evidence from emerging economies," Emerging Markets Review, Elsevier, vol. 17(C), pages 186-208.
    5. Mubariz Hasanov & Tolga Omay, 2007. "Are the Transition Stock Markets Efficient? Evidence from Non-Linear Unit Root Tests," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 7(2), pages 1-12.

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