Return Predictability in the Hungarian Capital Market

Abstract

The efficient market hypothesis for the Hungarian capital market is investigated in this pape8r, however, it gives a sort of international market outlook and a comparison of them. From the weak-, semi-strong-, and strong effectiveness the accomplishment of the weak form is studied. Our aim is to prove that the Hungarian security market shows at least the weak form of effectiveness so all information contained in historical prices is fully reflected in current prices therefore past price information cannot be exploited to develop successful trading strategies. By the proof of the above theory we state that those investment theories which use only past prices for decisions are unscientific.