「效率市場假說」EMH (Efficient Market Hypothesis)，認為市場投資人是理性的，即使有不理性之現象，亦會藉由交易隨機的過程而相抵銷，進而消除不理性對於市場價格之影響；本研究以股票報酬率之波動作為市場價格機制代表，並進一步區分為(1)權益波動率及(2)資產波動率二種波動，另從公開資訊資料中整理出財務風險變數來觀察臺灣的資本市場對於已公開資訊是否反映在其股價波動上(市場價格機制)。本研究以(1)歷史波動率(Historical Volatility)及(2) Bollerslev(1986)所提出一般化自我迴歸條件異質變異模型之GARCH(1,1)模型為基礎，運用此二模型我們可推算出公司權益價格之波動率，並代入Merton(1974)所推導出之模型計算出資產價格之波動率，來作為本研究衡量波動情形之替代變數。研究期間為2013年4月~2014年3月，以季為單位預估波動率，研究結果發現：(1)歷史資料模型與GARCH模型所隱含波動訊息並不相同，(2)財務風險變數對資產波動之解釋力優於權益波動，(3)GARCH模型在捕捉股價波動之能力優於歷史資料模型、(4)權益及資產的波動確實隱含財務風險因子，(5)財務結構變數與資產與權益波動度之關係具有不對稱效果。研究證實財務風險因子確實對於波動具有解釋力，顯示臺灣的資本市場符合Fama效率市場假說之「半強式效率市場」，即對於公開資訊已有效率的反映在其股價波動上。本研究亦發現財務結構(即：權益與負債比例)之改變會影響與波動的方向關係，財務結構與波動度間存有此不對稱的效果，顯示臺灣資本市場股價報酬波動中，亦存有Black的「槓桿效果」。

In order to examine the information efficiency of Taiwan capital market, this study explores whether the public firms’stock and assets volatilities could be explained by their revealed financial information. Calculating both equity and assets volatilities through the historical and GARCH (1,1) models as the two dependent variables, we run regression on ten independent factors obtained from the firms’financial reports by using the quarterly data of public firms in Taiwan market from April, 2013 to March, 2014. The finding shows that ten financial factors could explain both equity and assets volatilities. This depicts that Taiwan's capital market matches the semi-strong form efficiency of Fama’s efficient market hypotheses (EMH). The findings through the quantile regression tests also show that the change of financial structure (equity to debt ratio) would affect the direction of volatilities. This implies that an asymmetric relation exists between the financial structure and volatilities and the existence of “leverage effect” proposed by Black in volatilities in Taiwan market.

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