自從Lo and MacKinlay (1988)提出變異數比率來檢定市場是否符合隨機漫步假說(random walk hypothesis, RWH)之後，利用此方法檢測市場效率性的學術研究文獻輩出，但該文獻僅就各國、各區域經濟體系或單一金融商品市場做研究，鮮少針對全球性進行探討。此外研究結果也僅就所探討的區域經濟做解釋，並未納入文化因素進行研究。因此本文採用1985年到2010年MSCI指數對全球40個國家樣本進行分析，探討市場效率性是否會受到文化的因素而有所影響。以週資料和月資料分別檢定短期和長期市場效率性，發現短期市場較不具效率性，長期而言市場具有效率性。接著探討語言、宗教、個人主義指數和各國主要股票市場創立年度等因素是否對於市場效率性具有解釋能力。結果顯示，市場效率性會受該國宗教信仰為伊斯蘭教、新教、代表過度自信與否之個人主義指數的高低以及股票市場創立年度的早晚等因素所影響。

Since Lo and MacKinlay (1988) used the variance ratio for testing the random walk hypothesis, there are more and more documents using this method to research the market efficiency. However, they just concentrated on each country, regional economics, or some financial product markets. Seldom did they research for the global market or take cultural factors into studies. Therefore, I use the MSCI index from 1985 to 2010 of 40 countries as a sample to explore whether the market efficiency is affected by cultural factors. Use weekly data to test short-term market efficiency and use monthly data to test long-term market efficiency, the result shows that short-term market is less efficient than long-term market. Then I want to explore whether language, religion, individualism index and countries’ stock market creation year can explain market efficiency. The result shows that the market efficiency would be affected by the religious belief, the Islam, the Protestant, the Individualism index and the year of the creation of the stock market of the country.

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