Abstract
In this dissertation, we try to find whether there exists one strategy can beat buy and hold strategy or not. We adopt all kinds of investment strategies including public information strategy (PI strategy), filter rule (FR), simple technical analysis rule(STAR) and complex technical analysis rule(CTAR). To see whether these strategies can beat buy-and-hold，we compare Jensen’s α coefficient，Sharpe ratio and Treynor ratio. If any investment strategy can beat buy-and-hold in all sub-periods，then we can say the stock market is inefficient。 Our results found that although PI, FR and STAR strategies can beat buy and hold in entire period. But they can’t beat buy hold consistently in all sub-periods. However, the CTAR strategy (using stock bias plus golden and death intersection rule) can beat buy-and-hold strategy clearly by Jensen’s α coefficient，Sharpe ratio and Treynor ratio both is the entire periods and in all sub-periods. Hence we conclude that Taiwan’s stock market is inefficient。