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本研究的主要目的在利用模擬實證研究的方式，探討資訊在我國股市股價形成中所扮演的角色。本研究所定義的資訊均屬最低成本或成本趨近於零的歷史性資訊或隨機亂數資訊，這些資訊包括亂數選擇、加權平均指數之反轉移動，與個股股價反轉移動資訊等。理性預期均衡理論提供了資訊與股價間關係的理論基礎。在理性預期均衡理論中，最基本的觀念是股價與攸關資訊間，若非雜訊，二者應具系統化關係。本研究預期可瞭解我國股市部份資訊效率性的意義，亦可進一步瞭解與歷史性資訊在我國股價形成所扮演的角色。 　　本研究採用模擬式實證研究法，以理性預期理論為基礎，探討隨機亂數資訊與歷史性股價資訊在股價形成過程中所扮演的角色，從而檢定我國股票市場之效率性。為了能評估不同層次之歷史資訊所代表之本質，本研究將採用之資訊分為三層次，分三階段進行。且為了觀察市場多、空頭之差異，又特別分別測試。 　　本研究以266家上市公司為抽樣母體，蒐集自民國83年至民國84年中之股價資料，分多、空頭進行研究，獲致以下結論： 　　一、在不利用任何歷史性資訊（亦即非理性狀態下）以制訂投資決策之情況下，若市場為多頭時期，存在有總累積報酬率擊敗市場且顯著差異之事實，且持有週期愈短，總累積報酬率愈高；而若市場為空頭時期，不論持有週期長短，總累積報酬率皆不能擊敗市場，但以各投資組合而言，仍存在有擊敗市場且顯著差異之事實，以此推論，台灣股票市場屬弱式效率市場之範疇。 　　二、當採用市場發行量加權平均指數之反轉移動為投資買賣點之依據，不論市場是處於多頭或空頭，總累積報酬率皆無法擊敗市場之平均表現。但各個投資組合亦存在有擊敗市場且顯著差異之事實，亦可支持台灣股票市場為弱式效率市場之說法。 　　三、若改以個股股價反轉移動為投資決策參考之指標，在多、空頭時期，且不論就個別投資組合或總累積報酬率來看，皆可輕易獲致超額報酬且顯著差異，暗示我國股市股價形成之過程並不能充分反應此一資訊，據此可推論台灣股票市場為弱式效率市場。 　　四、以市場發行量加權平均指數反轉移動資訊所制訂投資決策之績效不能顯著勝過市場之平均表現看來，台灣股票市場之股票股價形成過程中，深受歷史性加權平均指數移動資訊所影響，以致能大部分反映此部分資訊。而以個股股價反轉移動資訊所制訂投資決策之績效卻能輕易勝過市場且顯著差異看來，我國股市中個別股票股價表現似乎存在重大差異，股價與加權指數間並不皆具有高度正相關，投資人若決策錯誤，可能產生「賺了指數，賠了差價」之情形。 / This study aims to examine the role of information plays in the stock price formation by an application of simulated empirical approach. The results of this study can be used for assessing the appropriateness of Fama's definition of efficient market hypothesis (1970) in the Taiwan stock market. The assessment of information in this study includes random selection, reverse movement of stock index, and reverse movement of an individual stock. The analysis includes 266 samples covering bull/bear markets in the period between 1994 and 1995 on which the findings can be summarized as follows. 　　1. If the portfolio is formed upon random selection, the performance of portfolios can significantly beat the market in the bull market. In particular, the shorter turnover is, the higher return can be gained. There exist examples that the random portfolio can beat the market in the bear market no matter which turnover is selected. 　　2. If the portfolio is formed upon the reverse movement of stock index, even though total cumulative returns cannot beat the market average return in all cases, there exist cases beating the market. 　　3. If the portfolio is formed upon the reverse movement of an individual stock, no matter what the bull or bear market is, the portfolio can significantly beat the market for designated cases or total cumulative returns. 　　Thus, the stock price in the Taiwan stock market can be classified as a weak form market or weaker than a weak form market based on the Fama's definition (1970). Future research can consider how the Fama's definition of efficient market hypothesis can be revised in order to be applicable in the Taiwan stock market.

It is generally accepted in academic circles that the developed country capital markets with their advanced infra-structure, depth and liquidity are at a minimum Weak-Form efficient. Since the Weak-Form EMH proposes that current security prices immediately assimilate all historical information, it therefore also implies that technical analysis (which relies on charts and analysis of past price patterns to extrapolate future price movements) would be a futile exercise. Yet technical analysis has endured over time and is still an intensively and widely used investment analysis technique. This indicates a clear disconnect between technical analysis as employed by practitioners in the market and the technical analysis methodologies utilized by academics in prior Weak-Form EMH studies. The problem is prior technical analysis Weak-Form EMH studies were burdened with methodological weaknesses which severely handicapped the profit generating potential of technical analysis and suggest that previous Weak-Form EMH research findings were erroneous in being unable to reject the null Weak- Form market efficiency hypothesis. This study addresses the problem by eliminating prior methodological weaknesses and utilizing high frequency intra-day data, the combination of qualitative and quantitative techniques and volume signals to develop a portfolio of Intermarket Momentum technical analysis strategies that generate significant excess profits. The objective of this study is therefore to provide evidence that contrary to prior research findings, the developed country capital markets are not Weak-Form efficient. The results show that the portfolio of Intermarket Momentum trading strategies generated returns in excess of the market with a significantly positive Alpha of 8.52% that allowed the rejection of the Null Hypothesis and the acceptance of the Alternative Hypothesis that the developed country capital markets are not Weak-Form efficient, thereby refuting the widely accepted EMH. / Business Management / D.B.L.

Few areas of research in the finance literature have received greater attention than the efficient market hypothesis. Much of the research has been directed toward the securities market while very little research has been done in the real estate markets. The existing research on real estate market efficiency has been either descriptive or illustrative with very little empirical testing being performed. The major reason for the lack of empirical testing has been the inability to develop an adequate data base. The results of the empirical work that has been done do not support the widely held belief that real estate markets are inefficient. This study, using the autoregressive-integrative-moving average (ARIMA) time series analysis technique, tests the weak-form efficiency of the Dallas-Fort Worth office properties real estate market. According to the weak-form efficient market hypothesis, all price information should be capitalized into current real estate prices and not provide the basis for earning abnormal returns in trading. Price data formed from office building sales dating from January, 1979 to January, 1985 are used to test the market. The data was gathered from the files of several professional appraisal firms located in the Dallas-Fort Worth area. The transaction information includes (1) transaction price; (2) location of the property; (3) net rentable area; (4) gross income multiplier (GIM); (5) net income multiplier (NIM); and (6) net operating income. The results of the study indicate a lack of significant autocorrelation. This suggests that the Dallas-Fort Worth office properties real estate market is weak-form efficient. As further evidence of weak-form market efficiency, ARIMA models are estimated to predict future sales prices but they are unable to outperform a simple mean series forecast. The results indicate that a change in traditional real estate theory concerning market efficiency may be warranted.