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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/33484

    Title: 台灣股票市場效率化趨勢之研究
    Other Titles: The trend of efficiency in Taiwan stock market
    Authors: 謝昇龍;Hsieh, Sheng-lung
    Contributors: 淡江大學企業管理學系碩士在職專班
    趙慕芬;Chao, Muh-fen
    Keywords: 效率市場;灰預測模型;Market Efficiency;Gray Forecasting Model
    Date: 2007
    Issue Date: 2010-01-11 04:11:38 (UTC+8)
    Abstract: 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。
    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.
    Appears in Collections:[企業管理學系暨研究所] 學位論文

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