摘要
自2009年起，台灣存託憑證(TDR)在台灣證券市場興起一陣風潮，掛牌熱度於2011年達到最高峰。然而，TDR的榮景卻僅維持2年，根據證交所統計，2011年整體TDR市場成交值為新台幣1421.84億元，相較於2010年的2619.06億元，成交值大幅衰退達45.7%，短短幾年內台灣存託憑證市場便由交易熱絡進入急凍的現象。究竟台灣存託憑證市場的效率性為何?本篇研究分別檢定台灣存託憑證市場是否符合弱式效率市場與半強式效率市場假說。研究結果顯示，台灣存託憑證指數經過檢定符合弱式效率市場假說；而進一步檢測台灣存託憑證市場是否符合半強式效率市場假說，結果顯示台灣存託憑證指數與台灣加權股價指數、匯率不具有長期關係存在，故表示台灣存託憑證市場具半強式效率性。
並列摘要
TDRs have made a fad across the Taiwan Security Market since 2009 and reached the peak in 2011. However, the prosperity of TDR has kept for only two years. According to the Taiwan Stock Exchange, the total amounts of TDR were 0.26 trillion NTD in 2010 and declining to 0.14 trillion in 2011 only in the few years. Is the TDR market efficient? In this paper, we tested the weak form and semi-strong form of TDR market efficiency respectively. It is found that the TDR index was consistent with the weak form efficiency. Further, we also tested whether the TDR market is consistent with the semi-strong form. It is found that there was no relation between the TDR index and TWSE as well as the exchange rate. The results show that TDR market is consistent with the semi-strong form.