本研究旨在探討週轉率、市場成熟度與波動，性對平均數復歸程度之影響，我們對於包括一些主要工業化國家與新興市場在內的27個資本市場進行實證分析。主要實證結果如下：(1)具有較低週轉率的股票市場，呈現出較高的平均數復歸趨勢。(2)雖然部份股票市場呈現短期正自我相關及長期負自我相關；但是『高成熟度資本市場』大多呈現短期及長期均為負自我相關的現象。(3)當分別使用標準差與變異係數作為高低波動性的分類標準時，兩者所獲得波動性與平均數復歸的關係具有明顯地差異。(4)比較是否納入亞洲金融危機期間資料的研究結果發現，兩者之實證結果差異是相當有限的。

The purpose of this paper is to explore the effects of turnover rate, marketsophistication, and volatility on the degree of mean reversion. We analyze theseeffects for 27 equity markets including some major industrialized countries andemerging markets. Our results show that, firstly, the markets with lower turnoverrates tend to have higher degree of mean reversion. Secondly, although some of theequity markets are positively autocorrelated in the short-term and negativelyautocorrelated in the long-term, most of the matured and sophisticated markets arenegatively autocorrelated both in the short-term and long-term. Thirdly, theempirical results using standard deviation as the proxy of return volatility aresignificantly different from those using coefficient of variation as the proxy of returnvolatility. Finally, these two findings, including and excluding the period of Asianfinancial crisis, are similar.