| Summary: | 碩士 === 國立交通大學 === 科技管理研究所 === 84 === This study utilizes the multiple variance ratio test as
developed in Lo & MacKinlay(1988) and Chow & Denning(1993) to
examine the Taiwan stock market.Weekly index returns are derived
from the composite value weighted priceindex of Taiwan Stock
Exchange recorded in the AREMOS tape. The time periodcovers
eleven years from 1985 till 1995. This study also devides the
period into two subperiod of 1985-1989 and 1991-1995
respectively to investigate theimpact of the market crash in
1990 on the stock return generating process.Several results are
worthy of noting. First, for the overall period and the first
half period, the random walk model is rejected for most time
lags. How-ever, for the second half period, the test fails to
reject the random walkmodel for all lever of time lags. Second,
the 1-st order autocorrelations as implied by the variance ratio
in the case of two-week-lag suggests the thereis positive
autocorrelation for weekly holding period returns for the
overallperiod and the first half period. However, the
autocorrelation become negativewhen the data of the second half
period are used. This seemingly puzzling results maybe
interpreted that the positive correlation caused by the
problemof smaller price change limits might have declined in the
second half periodwhile the mean reverting process caused by the
overreaction of the investorsmight have set in.
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