本文主要研究台灣股票市場效率化趨勢。研究目的有三：首先依據過去對於台灣股票市場是否具備效率化之研究結果，試圖找出台灣股票市場之效率化趨勢。其次藉由股票市場效率化趨勢結果，能對台灣ETF市場的未來發展提供正面的實證依據。最後試圖對政府過去健全股市之政策能促進股市效率化提供解釋。 本研究資料期間為1991年至2005年，探究股市效率性的論文與期刊為研究對象，利用灰預測模型進行預測台灣股票市場效率趨勢化的實證分析，得到結論如下： 一、過去15年來台灣股市效率市場比率為逐漸下降，顯示學界對於研究有關台灣股市效率性的文獻中，具備效率性的研究結果部份有逐年下降趨勢。 二、具備效率性的研究結果部份有逐年下降趨勢，實證結果無法對國內ETF市場未來發展提供有力依據。 三、對於過去主管機關的施政努力能有助於股市效率化方面，研究結論無法提出有力的解釋。 雖然研究結果令人有些失望，但投資人想獲得超額利潤，仍需在專業知識上有所提升。對於長期持有的投資人而言，股票指數型基金可以獲得追蹤大盤的穩健報酬，仍不失為一個選擇工具。同時股票指數基金其一籃子股票的組合特性，在操作上可將其視為一避險工具。 This thesis mainly studies the Taiwan stock market efficiency tendency. The research objective has three: First, attempt to discover whether the Taiwan stock market possess the efficiency tendency based on past findings regarding Taiwan stock market. Next, according to the research finding, intend for providing the positive real diagnosis basis to the Taiwan ETF market future development. Finally, intend for explaining that past Administration’s relative policy of perfecting stock market whether can able to promote the stock market efficiency. This research material period was from 1991 to 2005, the object of study inquires into market efficiency discourses and periodicals regarding Taiwan stock market. The research adopts “Gray Forecasting Model” to forecast the efficiency tendency in Taiwan stock market. The empirical conclusions to be as follows： 1. In the past for 15 year, the efficiency ratio in Taiwan stock market gradually dropped that means the efficiency tendency inexistent. 2. The empirical result is not able to provide the powerful basis of domestic ETF market future development. Investors still hope to obtain abnormal return in the stock market through “Passive Investment Management”. 3. The research conclusion is not able to propose powerful explanations on past Government Administration diligently efforts that favor the stock market efficiency. Although the findings go sour, however investors intend to obtain abnormal return; the specialized knowledge still must to be promoted. Speaking of long-term investors; index funds still are choice financial tools based on offering steady return by tracking benchmark. Otherwise, the characteristic of basket stocks regards index funds as hedge tools too.
