Empirical investigation of stock price dynamics in an emerging market

We study the development of an emerging market - the Budapest Stock Exchang e - by investigating the time evolution of some statistical properties of h eavily traded stocks. Moving quarter by quarter over a period of two and a half years we analyze the scaling properties of the standard deviation of i ntra-day log-price changes. We observe scaling using both seconds and ticks as units of time. For the investigated stocks a Levy shape is a good appro ximation to the probability density function of tick-by-tick log-price chan ges in each quarter: the index of the distribution follows an increasing tr end, suggesting it could be used as a measure of market efficiency. (C) 199 9 Elsevier Science B.V. All rights reserved.