An Empirical Study of Efficiency-Segment for the Taiwan Stock Market

• Main Authors: Chen Yie Shin, 陳益興
• Other Authors: Hsu Ching Chih
• Format: Others
• Language: zh-TW
• Published: 1995
• Online Access: http://ndltd.ncl.edu.tw/handle/38561976631036298901

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.