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

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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Year of publication:	1997
Authors:	Dockery, E. ; Vergari, F.
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 4.1997, 10, p. 627-629
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009195690