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The weak-form efficiency of the Taiwan share market

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Author Info

  • 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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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/135048596355899&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Bibliographic Info

Article provided by Taylor and 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. Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa, 2006. "Calendar anomalies in the Malaysian stock market," MPRA Paper 516, University Library of Munich, Germany.
  2. 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," Articles of International Econometric Review (IER), Econometric Research Association, vol. 3(1), pages 25-37, April.

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