A re-examination of weakly efficient market hypothesis via fuzzy time series analysis

• Main Authors: Jing, Jhy-Yung, 景志鏞
• Other Authors: Chen Hwei-Mei
• Format: Others
• Language: zh-TW
• Published: 1997
• Online Access: http://ndltd.ncl.edu.tw/handle/91289001282862761749

碩士 === 東海大學 === 統計學系 === 85 === A market in which prices always "fully reflect" all available information iscalled "efficient". In general, the efficiency of capital market tests concernedwith the adjustment of security prices to three relevant information subsets isconsidered that were, weak form tests, semi-strong form tests, strong form tests. In our paper, we discuss whether Taiwan''s security market is a weak form market. And the weak form tests, in which the concern is whether prices efficiently adjust to information that is historical prices. Due to investor''s cognizance of information in which has fuzziness, weuse logical relationship "if...then..." which is proposed by Song & Chissom(Fuzzy Time Series, 1993), to check whether the return of Taiwan''s securitymarket has such logical relationship. If the return of Taiwan''s security don''t have such logical relationship, then the Taiwan''s security market is a weak formmarket. Finally, the result shows that Taiwan''s security market is a weak form market.