當投資人欲做出投資決策的時候,通常主要參考的變數是公司的盈餘資訊,最後投資人的決策結果則會在交易量上面反映出來。所以當股票價格不斷的上漲或下跌,即表示市場資訊並無法被充分反應出來,反而容易讓投資人出現反應過度或反應不及的情況。因此,本研究擬探討對價格波動的影響因素,來檢驗市場效能。雖然價格波動的持續性雖然也是動能現象的其中一種,本研究和先前的研究並不同,我們是以股價波動持續的天數與幅度做研究,再運用Fama and French的三因子模型來觀察股票價格波動是否受到股票的盈餘與流動性的影響。本研究結果顯示: (1)台灣股票市場週轉率與價格波動持續天數與幅度並無顯著相關。(2)盈餘與價格波動持續天數呈現負相關。(3)本研究發現盈餘與價格波動幅度呈現正相關。(4)大盤報酬與價格波動關係並不顯著相關。 When investors want to make investment decisions, the main variable they usually refer to is the company’s earnings information, and the final result of the investor’s decision will be reflected in the transaction volume. Therefore, when stock prices continue to rise or fall, it means that market information cannot be fully reflected. On the contrary, it is easy for investors to overreact or underreact. Therefore, this study intends to explore the influencing factors of price fluctuations to test market effectiveness. Although the continuity of price fluctuations is also one of the kinetic phenomena, this study is different from previous studies. We study the number of days and amplitude of stock price fluctuations, and then use Fama and French's three-factor model to observe stock price fluctuations. Is it affected by the stock’s surplus and liquidity? The results of this study show that: (1) There is no significant correlation between the turnover rate of the Taiwan stock market and the number of days and amplitude of price fluctuations. (2) The surplus is negatively correlated with the number of days of price fluctuations. (3) This study found that surplus is positively correlated with price fluctuations. (4) The relationship between market returns and price fluctuations is not significantly correlated.