After the financial crisis of 2008 many scholars criticised the validity of the market efficiency hypothesis of the modern financial literature. The purpose of this paper is to investigate the adequacy of market efficiency based on Hungarian, and as a reference, on American securities. Besides classical statistical tools (autocorrelation function, Ljung-Box test, Augmented Dickey-Fuller test), we also used new approaches of the literature (Variance Ratio test). In addition to the simple hypothesis tests we tried to separate the different type of time series and explain the reasons for the different behaviours.

Journal of Economic Literature (JEL) codes: G140