The conclusions of the studies relating to efficient market hypothesis (EMH) were inconsistent because of the different research methods and sample periods of time. Therefore, the efficiencies of stock markets are still a problem today. Moreover, this issue was thought one of the seven major unknown problems in financial field by Brealey, Myers and Marcus (2004). This study applied the time series model to test the weak form efficiency of Taiwan stock market by four different phases. The result showed that the return rates of all periods in the four phases have appropriate ARIMA models. This result demonstrated that Taiwan stock market does not fit the weak form of EMH which assumed that analyzing historical information of stock prices is useless.