政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/69756

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政大典藏 > College of Commerce > Department of Finance > NSC Projects > Item 140.119/69756

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/69756

Title:	台灣股票市場上市公司股價長短期依賴度檢驗
Other Titles:	Long-Term or Short-Term Dependence in Taiwan Stock Market
Authors:	謝劍平
Contributors:	財務管理學系
Keywords:	股票市場;上市公司;股票價格;台灣;依賴性 Stock market;Listed company;Stock price;Taiwan;Dependence
Date:	1998
Issue Date:	2014-09-10 17:47:13 (UTC+8)
Abstract:	This paper investigates the random walk and/or memory in Taiwan equity markets. We employ four heteroscedastic-robust testing methods including: (1) conventional unit root tests, (2) resealed range analysis, (3) multiple variance ratio test and (4) re-scaled variance ratio test to examine the dependence for 104 monthly stock price series. The results from the three methods are consistent in that the random walk hypothesis is generally not rejected. This implies that the Taiwan equity market is weak form efficient.
Relation:	行政院國家科學委員會計畫編號NSC87-2416-H004-002
Data Type:	report
Appears in Collections:	[Department of Finance] NSC Projects

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