Testing the random walk hypothesis: evidence for the Budapest stock exchange
AbstractVariance 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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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 4 (1997)
Issue (Month): 10 ()
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