Efficiency of the Taiwan Stock Market

Abstract

This study uses two popular technical trading rules to assess whether the gradual liberalization of Taiwan's securities markets has improved the efficiency of its stock market. The results show that the two rules have considerable predictive power for 1983-1990, they become less predictive for 1991-1997, and they cannot predict the market for 1998-2005. These results indicate that the efficiency of Taiwan stock market has been greatly enhanced by the liberalization measures implemented over the last 20 years.j ere_448 389..394 JEL Classification Numbers: G12, G14.

Financial crises, Asian stock indices, and current accounts: An Asian-U.S. comparative study

“…The Taiwanese stock index increased from 8166 in March 1997 to 9890 in August 1997 and then fell to 7731 in November, a fluctuation of 22 percent. The Central Bank of Taiwan prevented substantial fluctuations in the exchange rate.The focus of this study differs from those ofChou et al (1999),Kung and Wong (2009), Metghalchi et al (2012), andTsai and Dean (2009); therefore, the results are not directly comparable.…”

“…In studying the Taiwanese stock market, Chou et al (1999) observe that the U.S. stock market has a volatile spillover effect without explicitly addressing financial crises based on a multivariate generalized ARCH model. Kung and Wong (2009) examine the efficiency of the Taiwanese stock market and find that 1997 is a relevant break-point when two trading rules were adopted between 1983 and 2005. Metghalchi, Chang, and Garza-Gomez (2012) fail to consider macroeconomic factors in their study of the trading rules and strategies of the Taiwanese stock market.…”

Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections

“…These findings suggest that the efficiency of the Singapore stock market has been considerably enhanced by the measures implemented after the financial crisis. Kung and Wong (2009b) use two popular technical trading rules to assess whether the gradual liberalization of Taiwan's securities markets has improved the efficiency in its stock market. The results show that the two rules have considerable predictive power for [1983][1984][1985][1986][1987][1988][1989][1990], become less predictive for 1991-1997, and cannot predict the market for the period 1998-2005.…”

Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis

“…Kung and Wong () conduct an analysis using two popular trading rules, namely MA and TRB , to assess whether or not the gradual liberalization of Taiwan's securities markets has improved the efficiency of its stock market. The results show that the two rules have considerable predictive power for 1983–1990; become less predictive for 1991–1997, and cannot predict the market for 1998–2005.…”

“…Hudson et al (1996) find that the Brock et al (1992) trading rules have some ability to predict the FT30 series of returns, but that no significant gains are found after factoring in trading costs. Kung and Wong (2009a) conduct an analysis using two popular trading rules, namely MA and TRB, to assess whether or not the gradual liberalization of Taiwan's securities markets has improved the efficiency of its stock market. The results show that the two rules have considerable predictive power for 1983-1990; become less predictive for 1991-1997, and cannot predict the market for 1998-2005. These results indicate that the efficiency of the Taiwan stock market has been greatly enhanced by the liberalization measures implemented over the past 20 years.…”