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    题名: 台灣股票市場上市公司股價長短期依賴度檢驗
    其它题名: Long-Term or Short-Term Dependence in Taiwan Stock Market
    作者: 謝劍平
    贡献者: 財務管理學系
    关键词: 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
    日期: 1998
    上传时间: 2014-09-10 17:47:13 (UTC+8)
    摘要: 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.
    關聯: 行政院國家科學委員會
    計畫編號NSC87-2416-H004-002
    数据类型: report
    显示于类别:[財務管理學系] 國科會研究計畫

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