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


  • E. Dockery
  • F. Vergari


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.

Suggested Citation

  • E. Dockery & F. Vergari, 1997. "Testing the random walk hypothesis: evidence for the Budapest stock exchange," Applied Economics Letters, Taylor & Francis Journals, vol. 4(10), pages 627-629.
  • Handle: RePEc:taf:apeclt:v:4:y:1997:i:10:p:627-629 DOI: 10.1080/758533288

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    References listed on IDEAS

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    Cited by:

    1. Jorge Caiado, 2004. "Modelling And Forecasting The Volatility Of The Portuguese Stock Index Psi-20," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(1), pages 3-21.
    2. 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.
    3. Ece C. KARADAGLI & Nazlı C. OMAY, 2012. "Testing Weak Form Market Efficiency Of Emerging Markets: A Nonlinear Approach," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(3(21)/ Fa), pages 235-245.
    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. 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.
    6. Arshad, Shaista & Rizvi, Syed Aun R. & Ghani, Gairuzazmi Mat & Duasa, Jarita, 2016. "Investigating stock market efficiency: A look at OIC member countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 402-413.
    7. Jan Hájek, 2007. "Czech Capital Market Weak-Form Efficiency, Selected Issues," Prague Economic Papers, University of Economics, Prague, vol. 2007(4), pages 303-318.

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