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The weak-form efficiency of the Taiwan share market

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  • Chris Fawson
  • Terry Glover
  • Wenshwo Fang
  • Tsangyao Chang

Abstract

This paper evaluates monthly stock index price from the Taiwan stock market for evidence of weak form market efficiency. Four empirical methodologies are employed: the Ljung-Box Q test, the binomial distribution test, the runs test and the unit root test of stationarity in stock prices. Empirical evidence suggests that the monthly stock price for the Taiwan stock market exhibits weak-form efficiency.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 3 (1996)
Issue (Month): 10 ()
Pages: 663-667

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Handle: RePEc:taf:apeclt:v:3:y:1996:i:10:p:663-667

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Cited by:
  1. Admin Starcevic & Timothy Rodgers, 2011. "Market Efficiency within the German Stock Market: A Comparative Study of the Relative Efficiencies of the DAX, MDAX, SDAX and ASE Indices," International Econometric Review (IER), Econometric Research Association, vol. 3(1), pages 25-37, April.

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