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

E. Dockery and F. Vergari

Applied Economics Letters, 1997, vol. 4, issue 10, 627-629

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.

Date: 1997
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DOI: 10.1080/758533288

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