over an extended period ( 1975-84). The authors therefore conclude that Taiwan's stock market does not satisfy semistrong information efficiency.
The authors are indebted to Lee K. Benham, Lawrence R. Klein, and numerous individuals for comments and/or encouragement Stylistic advice generously provided by Dann Isbell and R. Harbaugh is gratefully acknowledged.
t = the tth trading date after the reopening of the market,
Pj,t = the closing price of jth stock on date t, and
Pj.0 = arithmetic mean of the closing price of the jth stock over the base period.
where 1 ≤ τ ≤ 30.
Brown S. J., and J. B. Warner. ( 1985). "Measuring Security Pricing Performance." Journal of Financial Economics 14: 3-31.
Copeland T. E., and J. F. Weston. ( 1983). Financial Theory and Corporate Policy. Reading, Mass.: Addison-Wesley.
Fama E. F. ( 1976). Foundations of Finance. New York: Basic Books.
Fama E. F., L. Fisher, M. C. Jensen, and R. Roll. ( 1969). "The Adjustment of Stock Prices to New Information." International Economic Review, February, 1-21.
Jensen M. C. ( 1978). "Some Anomalous Evidence Regarding Market Efficiency." Journal of financial Economics (June/September): 95-101.