Do market participants learn? The case of the Budapest Stock Exchange

In the paper we consider one of the faster growing Central European emergin g markets: the Budapest Stock Exchange (BSE), in order to see whether the m arket becomes more weak-form efficient over time. The Hungarian exchange is selected because it is the oldest stock exchange operating in the region a nd, in 1995, it was the first Central European exchange admitted by the Lon don Stock Exchange as a properly regulated stock exchange. As an econometri c tool for comparative analysis, we use a Test for Evolving Efficiency (TEE ). In a comparison of nine stocks and the market index (BUX) we found that the BSE becomes more mature but the process is surprisingly slow.