| Summary: | 碩士 === 逢甲大學 === 企業管理學系 === 87 === Efficient Market Theory is one of the major financial theories in contemporary era. Fama not only established Efficient Market Theory status in financial management domain after he(1970,1976) compiled the literatures about efficient market theory before 1970, he but also divided market efficiency into weak form, semi-strong form and strong form. He had fierce influence on financial management theory in the future.
Industry groups focused people''s attention upon after 1971. The reasons are industry groups have more merits than single business. For example, industry groups have enormous scale and bulkiness grubstake. Besides, their affiance are much better. The purpose of this paper is to search for stock return seasonality in Taiwan. On the other hand, this paper wants to identify weak form efficiency market in Taiwan''s stock market.
The conclusion of this paper demonstrates that the seasonal effect exist in Taiwan''s stock market. In other words, this paper shows February Effect in Taiwan. Besides, this paper doesn''t think January Effect exist in Taiwan''s stock market after comparing with other literatures of seasonal effect.
At last, this paper shows reversed relation of sample industry groups in February and May, October and November or December. In other words, the industry groups that shows apparent stock return in February will not have apparent stock return in May. Similarly, it''s impossible that the industry groups demonstrate apparent stock return in November or December when they have apparent stock return in October.
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