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...

Outlines research on the factors which reduce stock market efficiency and the particular characteristics of the Athens stock exchange (Greece). Uses 1988‐1994 Greek monthly returns data for share actively traded during the period to test for random walk behaviour in share prices. Explains the...

This paper performs unit root tests using panel data to investigate empirically stock price efficiency of the Athens stock market. Our Wald test statistics reject the random walk hypothesis for stock prices, which is a necessary condition for market efficiency.