Testing the Weak-Form Efficient Market Hypothesis: Using Panel Data from the Emerging Taiwan Stock Market
Chu V. Nguyen, Chia-Han Chang, Thai D. Nguyen

Abstract
This empirical study investigates whether the Taiwan Stock market is weakly efficient by modifying and estimating Dockery and Kavussanos’ multivariate model using a set of panel data. The Taiwan equity market is characterized as high-tech, one of the most liquid markets on the globe, well and strictly regulated, and in an advanced emerging economy. However, the empirical findings suggest that the Taiwan stock market is not informationally efficient, which may be attributable to the lack of broadness and depth of the market. The results further indicate that when the number of stocks included in the sample exceeds 5, the null hypothesis of the efficient market hypothesis is rejected throughout.

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