本研究採用市場模式及成交量模式進行殘差分析，檢定臺灣股價顯現真實價格的能力。首先，觀察資訊不對稱現象、衡量期間效果與費雪效果是否存在，並進一步以喊價代替成交價，消除部份的衡量期間效果，觀察報酬率的隨機性。使用日內逐筆資料進行實證，結果顯示台灣股市資訊不對稱情形、短期衡量期間效果與費雪效果存在，因此，台灣股市成交價無法顯現真實價格。

This paper analyzes the residual terms resulting from market model and volume model in order to observe the price discovery of Taiwan stock market. Infor-mation asymmetry, the intervalling effect and Fisher effect are examined, and the randomization of rate of return is tested after replacing clearing prices by quotation prices to eliminate partial intervalling effect. This study adopts intra-day data to test the hypotheses. The results indicate that information asymmetry, in- tervalling effect and Fisher effect exist in the short run of Taiwan Stock Market.