| Abstract: | 資本市場上各種證券價格如能充份反映所有可以獲得的情報,而且一 旦新情報發生以後,各證券價格如能立即或近乎立即地相應調整,那麼此種 資本市場即屬於效率資本市場?一般效率市場的檢定可依情報種類的不同 而區分為強式,半強式與弱式效率市場;其中弱式效率市場檢定主要是在探 討證券價格是否已充分反映過去證券價格所提供的各種情報? 緣於 投資人對於各種情報認知之模糊性,本論文利用模糊時間序列所提出的邏 輯關係(if...then...),來說明台灣證券市場的前後期報酬率是否具有此 因果關係,如果證券市場的報酬率不具有此關係則台灣的證券市場為一弱 式效率市場?經過實證的結果顯示,台灣的證券市場大致符合弱式效率市 場假說?
A market in which prices always "fully reflect" all available information iscalled "efficient". In general, the efficiency of capital market tests concernedwith the adjustment of security prices to three relevant information subsets isconsidered that were, weak form tests, semi-strong form tests, strong form tests. In our paper, we discuss whether Taiwan''s security market is a weak form market. And the weak form tests, in which the concern is whether prices efficiently adjust to information that is historical prices. Due to investor''s cognizance of information in which has fuzziness, weuse logical relationship "if...then..." which is proposed by Song & Chissom(Fuzzy Time Series, 1993), to check whether the return of Taiwan''s securitymarket has such logical relationship. If the return of Taiwan''s security don''t have such logical relationship, then the Taiwan''s security market is a weak formmarket. Finally, the result shows that Taiwan''s security market is a weak form market. |
