- 期刊
延時交易對台股指數效率性的影響－變異數比率檢定之應用
The Impact of Extending Trading Hour on the Efficiency of Taiwan Stock Market by Using Variance Ratio Tests
摘要
本文使用Lo and Mackinlay(1988)的參數型變異數比率檢定、Wright (2000)以rank與sign爲基礎之非參數變異數比率檢定、Chow and Denning (1993)之多重變異數比率檢定與Belaire-Franch and Contreras (2004)的以rank與sign爲基礎的多重變異數比率檢定，針對延長股市交易時間的措施，進行市場效率性的分析。實證的資料涵蓋延長交易時間前後各四年。由實證結果可知，延長交易時間後，電子與加權股價指數現貨皆由拒絕弱式效率市場假說轉爲接受此假說。由此可知，在延長交易時間後，股票市場的效率性的確有顯著的提升。
並列摘要
This study utilizes the parametric variance ratio test of Lo and Mackinlay (1988), the ranks and signs-based nonparametric variance ratio test of Wright (2000), the multiple variance ratio test of Chow and Denning (1993) and the ranks and signs-based multiple variance ratio test of Belaire-Franch and Contreras(2004) to examine the impact of extending trading hour on the efficiency of Taiwan stock market. The empirical data covers four years before and after the introduction of extending trading hour. Empirical result s indicated that the electronic index and stock index do not support the weak-form efficiency market hypothesis before extending trading hour. After extending trading hour, however, both indices tend to support the weak-form efficiency market hypothesis. Accordingly, the act of extending trading hour indeed improved the efficiency on Taiwan stock market.