本文主要是利用Lo and MacKinlay（1988）傳統變異數比率檢定法，再加入Wright（2000）無母數變異比率檢定法探討當金融市場面對金融突發事件時，其效率性的變化。我們探討台灣及韓國之股票市場、外匯市場及債券市場的效率性，在受到1997年亞洲金融風暴、2001年911恐怖攻擊事件及2003年SARS風暴等衝擊後對金融市場的影響。實證結果發現，不論台灣或韓國，債券市場的效率性受到金融突發事件衝擊並不大，外匯市場更是完全沒有反應，其背後可能原因是政府為抑止在金融突發事件期間熱錢突然的大量流進流出，所以會插手對匯率干預及央行會對利率有所控制。而股票市場在三個市場中對於金融突發事件反應較為明顯的，且效率性有明顯衰退的趨勢，代表股票市場在受到衝擊的這段期間更能夠的拒絕隨機漫步假說，市場更不具弱式效率性，既然市場指數的決定不為隨機漫步，也就表示投資人是有機會擬定適當的投資策略，在市場中獲取超額報酬。而我們又進一步分段討論金融突發事件發生後，股票市場的效率性，討論的事件是亞洲金融風暴對台灣及韓國股票市場與911恐怖攻擊事件對台灣股票市場的影響，從中我們發現金融突發事件衝擊台灣股票市場的時間至少持續3個月，衝擊韓國股票市場的時間則只有2個月。

This study mainly utilises tests based on ranks and signs suggested by Wright（2000）in addition to Lo and MacKinlay（1988）the traditional variance ratio test to examine the efficiency of financial market change facing financial crisis. Then we observe how change tendency while the stock market, exchange market and interest market of Taiwan and Korea facing “Asian Financial Crisis（1997）”,“911 Attack on America（2001）”, and “SARS Crisis（2003）”. Empirical result indicate that the influence of efficiency of interest market is very small while facing the financial crisis. Even the efficiency of exchange market have no reaction. But the reaction of efficiency of stock market is more obvious in three financial market. And the efficiency have evidence decline tendency. Indicate that the stock market is stronger to reject RWH（Random Walk Hypothesis）under the financial crisis, so the market is farther from weak form inefficiency. As long as the stock price index determination do not follow random walk, the investors have change to earn excess return by suitable investment strategy in this confused market. Further we separate the period after the financial crisis then discuss the efficiency of stock market. Designate financial event is “Asian Financial Crisis（1997）” in Taiwan and Korea stock market. Another event is “911 Attack on America（2001）” in Taiwan stock market. The findings reveals the period of financial crisis affect Taiwan stock market at least 3 months. But the crisis affect Korea stock market only 2 months.

目錄
第一章  緒論	1
第一節  研究動機	1
第二節  研究目的	4
第三節  研究架構	6
第四節  研究流程圖	7
第二章  文獻回顧	8
第一節  效率市場	8
第二節  效率市場檢定法	11
第三章  研究方法與研究設計	19
第一節  資料選取對象與範圍	19
第二節  單根檢定	20
第三節  變異數比率檢定	24
第四節  研究設計	28
第四章  實證結果與分析	29
第一節  基本統計量分析	29
第二節  單根檢定	34
第三節  變異數比率檢定	37
第四節  變異數比率模型應用	41
第五章  結論	55
參考文獻	57

表目錄
【表1】台灣金融指標各標的序列資料基本統計量	30
【表2】韓國金融指標各標的序列資料基本統計量	31
【表3】金融指標各標的序列資料水準項之ADF單根檢定	34
【表4】金融指標各標的序列資料差分項之ADF單根檢定	35
【表5】金融指標各標的序列資料水準項之PP單根檢定	35
【表6】各標的序列資料差分項之PP單根檢定	36
【表7】台灣金融市場各標的之全樣本變異比率檢定	37
【表8】韓國金融市場各標的之全樣本變異比率檢定	38
【表9】台灣股票市場在亞洲金融風暴後每月變異比率檢定	52
【表10】台灣股票市場在911恐怖攻擊事件後每月變異比率檢定53
【表11】韓國股票市場在亞洲金融風暴後每月變異比率檢定	54

圖目錄
【圖1】台灣股價指數報酬面對1997年7月2日亞洲金融風暴，前後共 四個月效率性的變化	41
【圖2】台灣股價指數報酬在2001年9月11日911恐怖攻擊事件，前後共四個月效率性的變化	42
【圖3】台灣股價指數報酬在2003年3月14日SARS風暴，前後共四個月效率性的變化	42
【圖4】美元兌新台幣匯率報酬在1997年7月2日亞洲金融風暴，前後共四個月效率性的變化	43
【圖5】美元兌新台幣匯率報酬在2001年9月11日911恐怖攻擊事件，前後共四個月效率性的變化	43
【圖6】美元兌新台幣匯率報酬在2003年3月14日SARS風暴，前後共四個月效率性的變化	44
【圖7】台灣官方隔夜拆款利率報酬在1997年7月2日亞洲金融風暴，前後共四個月效率性的變化	44
【圖8】台灣官方隔夜拆款利率報酬在2001年9月11日911恐怖攻擊事件，前後共四個月效率性的變化	45
【圖9】台灣官方隔夜拆款利率報酬在2003年3月14日SARS風暴，前後共四個月效率性的變化	45
【圖10】韓國股價指數報酬面對1997年7月2日亞洲金融風暴，前後共四個月效率性的變化	46
【圖11】韓國股價指數報酬面對2001年9月11日911恐怖攻擊事件，前後共四個月效率性的變化	46
【圖12】韓國股價指數報酬面對2003年3月14日SARS風暴，前後共四個月效率性的變化	47
【圖13】美元兌韓圜匯率報酬面對1997年7月2日亞洲金融風暴，前後共四個月效率性的變化	47
【圖14】美元兌韓圜匯率報酬面對2001年9月11日911恐怖攻擊事件，前後共四個月效率性的變化	48
【圖15】美元兌韓圜匯率報酬面對2003年3月14日SARS風暴，前後共四個月效率性的變化	48
【圖16】韓國官方隔夜拆款利率報酬面對1997年7月2日亞洲金融風暴，前後共四個月效率性的變化	49
【圖17】韓國官方隔夜拆款利率報酬面對2001年9月11日911恐怖攻擊事件，前後共四個月效率性的變化	49
【圖18】韓國官方隔夜拆款利率報酬面對2003年3月14日SARS風暴，前後共四個月效率性的變化	50

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