效率市場假說與價格訊息傳遞之驗證以臺灣釋迦批發市場為例

Testing the Efficient Market Hypothesis and the Price Information Transmission: The Case of Sugar Apple Wholesale Market in Taiwan

因釋迦收入保險對於價格資料之引用，本文旨在驗證釋迦批發市場的效率市場假說及確認價格訊息傳遞與形成。考量資料結構轉換，根據不同單根檢定法，估計結果顯示台北市第一果菜市場、台北市第二果菜市場及新北市果菜市場的釋迦批發價格皆符合效率市場假說。本文在結合門檻向量自我迴歸模型與資訊分享模型估計之後，發現北二的各價位（上價、中價、下價及均價）在該市場不同區間的價格傳遞訊息相互影響程度較其他市場顯著，且北二對於不同市場各價位的價格形成也都提供較多的訊息。 Since there exists the requirement of price data for calculating the sugar apple revenue insurance. The aims of this paper are to validate the efficient market hypothesis and to verify the transmission and formation of price information for the wholesale market of sugar apple. To deal with the structure change of data, this paper uses different unit root tests, and the empirical results indicate that there exist unit roots in the price data of the Taipei first fruits and vegetables wholesale market, Taipei second fruits and vegetables wholesale market, and New Taipei City fruits and vegetables wholesale market. Thus, it is concluded that all the price series are non-stationary, then the efficient market hypothesis is confirmed in these wholesale markets, where these wholesale prices fully reflect all available information in the markets. It is clear that the public auction method in wholesale market will promote the establishment of efficient market. In this paper, based on the threshold vector auto-regression modeling approach and information share method, the empirical results indicate that the level of price information interaction between different prices in Taipei second fruits and vegetables wholesale market, including upper, middle, lower, and average prices, are more significant than other markets, and the Taipei second fruits and vegetables wholesale market provides more information for formation of prices in different markets.