| Summary: | 碩士 === 國立臺灣科技大學 === 財務金融研究所 === 106 === The paper evaluates the performance persistence of Taiwan 50 Index component stocks from 2003 to 2016. By using Jarque-Bera test, test for randomness, Hurst exponent, we desire to verify the existence of Weak-form EMH and performance persistence. Moreover, foreign institutional investors gradually plays a vital role in Taiwan stock market. A research on investor’s trading behavior done by Taiwan Stock Exchange 2016 showed foreign institutional investors concentrate 90% of trading on blue chips. If the performance persistence of Taiwan 50 Index component stocks exists, investors can earn abnormal return by following foreign institutional investors.
The empirical results show that the performance of Taiwan 50 Index component stocks is not normally distributed. Test of randomness does not verify the performance persistence. Hurst exponent verifies the performance persistence on monthly and weekly return instead of on daily return. Moreover, net buy and climbing market cap of Taiwan 50 index component stocks have good performance, To sum up, investors can probably earn abnormal return by calculating Hurst exponent of monthly return and net buy and sell by foreign institutional investors.
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