In this paper, we study the 10-year government bond in Taiwan. We measure whether the transmission of new information can be received immediately by investors, response adequately, and exist asymmetric information or not. Furthermore, we examine the efficient market hypothesis of the 10-year on-the-run government bond in Taiwan. Our empirical results indicate that, the new information has great influence on the market. The impact of newly added information has a significant positive influence. Taiwan 10-year on-the-run government bond market is close to semi-strong form efficient market and exists leverage effect.
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