| Summary: | 碩士 === 淡江大學 === 金融研究所 === 83 === However, whether Taiwan Stock Market is "efficient" or
not, inconsist to most findings. Taiwan Stock Exchange
distributes A-category, B-category and full-delivery stock
in common stock trading. This paper will focus on whether
the A-category market differ from the B-category market in
market efficiency hypothese for Taiwan Stock Market. This
paper presents an empirical investigation of stock returns
for common stocks that been delisted from the A- category
or the B-category market. A major testable proposit- ion is
that the initial market is semi-strong efficient while publicly
available delisting information is reflected in pre- delisting
stock price. The proposition is a joint test of the hypotheses
that financal information about a common stock pre- delisting
is reflected in stock return and that such informat -ion is
used in evaluating listing category by Taiwan Stock Exchange.
When delisted from the A-category market to the B-category
market or the full-delivery market, results using logit analy-
sis are strongly consistent with the hypothized relation. So,
evidence consist with semi-strong form market efficiency in
the A-category market. When delisted from the B-category
market, results are in- consistent the the hypothized relation.
So, evidence inconsist with semi-strong form market efficiency
in the B-category mar- market.
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