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 previous research on cointegration between capital markets and assesses the degree of cointegration between liberalized Eastern European markets (the Czech Republic, Poland and Hungary) and the German and UK markets in the context of increasing foreign investment in Eastern Europe. Uses...

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.