THE WEAK-FORM EFFICIENCY OF THE TAIWAN SHARE MARKET

Authors
FAWSON C GLOVER TF FANG WS CHANG TY
Citation
C. Fawson et al., THE WEAK-FORM EFFICIENCY OF THE TAIWAN SHARE MARKET, Applied economics letters, 3(10), 1996, pp. 663-667
Citations number
26
Categorie Soggetti
Economics
Journal title
Applied economics letters → ACNP
ISSN journal
13504851
Volume
3
Issue
10
Year of publication
1996
Pages
663 - 667
Database
ISI
SICI code
1350-4851(1996)3:10<663:TWEOTT>2.0.ZU;2-Z
Abstract
This paper evaluates monthly stock index price from the Taiwan stock m arket for evidence of weak form market efficiency. Four empirical meth odologies are employed: the Ljung-Box Q test, the binomial distributio n test, the runs test and the unit root test of stationarity in stock prices. Empirical evidence suggests that the monthly stock price for t he Taiwan stock market exhibits weak-form efficiency.