One of Hungary's policies during the transition from a centrally planned to a market economy was the issue of compensation vouchers – a unique security designed both as a privatization mechanism and as a form of restitution for Hungarian citizens who suffered property losses in post-war nationalizations. The coupons were actively traded on the Budapest Stock Exchange (BSE). This paper examines the intertemporal behavior of the Hungarian voucher and equity markets in an effort to assess the efficiency of these markets and to gauge the degree of interaction between the two different assets. Evidence from variance ratio tests indicates that stock and voucher trading are each individually weakly efficient. Furthermore, vector autoregressions and cointegration methods show that there is little detectable intermarket interaction: a result which is consistent with joint efficiency. Thus, although the Hungarian equity market is small, it appears to function remarkably well.