本研究選取2003年至2016年之台灣50指數成分股為研究對象，利用常態性檢定、隨機性檢定、赫斯特指數，衡量樣本是否符合弱式效率市場假說，或樣本績效是否具持續性。此外，因外資持有股票佔台股總市值比重持續攀升，2016年證交所針對投資人交易股票行為進行分析時發現，外資交易有90%以上集中在權值股，如果台灣50指數成分股具績效持續性，則投資人或能根據外資買賣超數據從中獲取超額報酬。
實證結果顯示台灣50指數成分股之報酬率多不服從常態分配，隨機性檢定無法顯示樣本績效具持續性，赫斯特指數則顯示月報酬資料與週報酬資料具績效持續性，日報酬資料績效持續性則較不明顯。外資累積買賣超數據部分則顯示持股張數與持股市值攀升之多數成分股有不錯的報酬表現。綜上所述，投資人能根據月報酬資料計算之赫斯特指數，搭配外資累積買賣超數據，或能從台灣50指數成分股中選出投資標的獲取超額報酬。

The paper evaluates the performance persistence of Taiwan 50 Index component stocks from 2003 to 2016. By using Jarque-Bera test, test for randomness, Hurst exponent, we desire to verify the existence of Weak-form EMH and performance persistence. Moreover, foreign institutional investors gradually plays a vital role in Taiwan stock market. A research on investor’s trading behavior done by Taiwan Stock Exchange 2016 showed foreign institutional investors concentrate 90% of trading on blue chips. If the performance persistence of Taiwan 50 Index component stocks exists, investors can earn abnormal return by following foreign institutional investors.
The empirical results show that the performance of Taiwan 50 Index component stocks is not normally distributed. Test of randomness does not verify the performance persistence. Hurst exponent verifies the performance persistence on monthly and weekly return instead of on daily return. Moreover, net buy and climbing market cap of Taiwan 50 index component stocks have good performance, To sum up, investors can probably earn abnormal return by calculating Hurst exponent of monthly return and net buy and sell by foreign institutional investors.

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(三)網路資料
1. 台灣經濟新報(TEJ)財務資料庫
2. 群益超級贏家