Statistical Analysis of the Stock Index of the Budapest Stock Exchange

TL;DR

This paper analyzes the statistical properties of the Budapest Stock Exchange index, revealing that its scaling behaviors align with global patterns and that traditional financial assumptions hold well for its return dynamics.

Contribution

It provides a detailed statistical analysis showing the BUX index's properties are consistent with classical financial theories, contrasting with some other markets.

Findings

Scaling properties similar to global markets

Returns follow classical stock market theory assumptions

Volatility and autocorrelation behaviors align with traditional models

Abstract

Scaling properties of the BUX index are similar to those observed in other parts of the world. The main difference is that the traditional quantities like volatility, growth and autocorrelation of returns follows more closely the assumptions of the traditional stock market theory developed by Bachelier and by Black and Scholes.