| Summary: | 碩士 === 國立中央大學 === 產業經濟研究所 === 91 === This research focuses on testing whether the stock market in Taiwan is efficient, and finding which characteristic factors can explain the rate of return in Taiwan stock market.
The scheme of the research comprises two parts as follows:
Part I, according to Fama & Macbeth (1973), probes whether the stock market in Taiwan fits the market efficiency in CAPM by using monthly data.
Part II sets a multi-factors model by introducing characteristic factors in Fama & French (1992), such as firm size, book-to-market ratio, EP ratio, and leverage, to test the explanatory ability of these factors to rate of return in stock market. Sequentially, the research applies the GMM estimate and settles the panel data by selecting 72 firms that have been listed on Taiwan Stock Exchange from October 1986 to September 1999 and have complete quarterly financial statements. Finally, the part compares CAPM and multi-factors model and figures out which one of them fits the stock market in Taiwan better, by using the concept of noise ratio in the Durlauf and Hall (1990).
The empirical findings are as following:
The stock market in Taiwan is not an efficient market. The research finds that systematic risk β has explanatory ability by considering multi-factors model; however, β is not the only explanatory factor to rate of return. Factors, such as firm size, book-to-market ratio, leverage, and negative EP ratio can explain the residual part of market return that cannot be explained by β. Consequently, firm size, book-to-market ratio, leverage, and negative EP ratio are remarkable criteria to stock selection.
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