| Summary: | 碩士 === 國立成功大學 === 財務金融研究所碩士在職專班 === 103 === In order to examine the information efficiency of Taiwan capital market, this study explores whether the public firms’stock and assets volatilities could be explained by their revealed financial information. Calculating both equity and assets volatilities through the historical and GARCH (1,1) models as the two dependent variables, we run regression on ten independent factors obtained from the firms’financial reports by using the quarterly data of public firms in Taiwan market from April, 2013 to March, 2014. The finding shows that ten financial factors could explain both equity and assets volatilities. This depicts that Taiwan's capital market matches the semi-strong form efficiency of Fama’s efficient market hypotheses (EMH). The findings through the quantile regression tests also show that the change of financial structure (equity to debt ratio) would affect the direction of volatilities. This implies that an asymmetric relation exists between the financial structure and volatilities and the existence of “leverage effect” proposed by Black in volatilities in Taiwan market.
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