| Summary: | 碩士 === 國立臺灣大學 === 商學研究所 === 85 === A desirable property of security prices is that they
converge towards their true or intrinsic values. When this
occurs we can state that prices contain full information and are
in strong form efficient. We are therefore concerned with the
speed at which prices move toward their intrinsic values. One
means by which we can judge the efficiency of a securities
market is the speed of adjustment of prices to reflect the
arrival of new information. In this research, we applied
three models: index price adjustment coefficient (Amihud &
Mendelson, 1989), corrected Damodaran''s individual stock price
adjustment coefficient (Brisley & Theobald, 1996) and partial
adjustment factor (Theobald & Yallup, 1996), to investigate the
efficiency of Taiwan stock market. Daily values for the TSE
capitalization weighted index and all the industrial group sub-
indexes were collected for the period stretching from 1991 to
1996. The main objectives of this research are as
follows:1. Using the price adjustment coefficient to
investigate the efficiency of Taiwan stock market.2. Trying to
find whether the price adjustment speeds are different for
different industrial groups.3. Using the partial adjustment
factor to see if the non-synchronous relationship exits in the
TSE capitalization weighted index and the industrial group sub-
indexes. Based on our empirical results, the followings are
some of the import findings:1. The price adjustment speeds are
different for all industrial groups.2. The pattern of price
adjustment process is significantly affected by the length of
return interval tested; hence the price adjustment coefficient
may not be able to measure the market efficiency very well.3.
The adjustment processes of most industrial group sub-indexes
and the TSE capitalization weighted index are non-synchronous.
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