This paper examines the weak-form market efficiency of the Taiwan Stock Market by simulating the trading performance of filter rules, and wants to know whether the investors can earn excess return under some trading rules or not. The sample contains all of the daily stock data between January 1991 to December 2000 trading on the Taiwan Stock Exchange. Considering the transaction cost, we compare both continuous and discontinuous trading strategy. And we find under discontinuous trading strategy, the own-stock dual-moving-average filter rule, the filter rule considering own-stock and all stocks trading volume, the Taiwan Stock Price Index dual-moving-average rule, the filter rule considering own-stock trading volume and own-stock filter rule can outperform the buy-and-hold strategy, and under continuous trading strategies, the own-stock dual-moving-average filter rule and the Taiwan Stock Price Index dual-moving-average outperform the buy-and-hold strategy even after accounting for transaction costs. This evidence indicates that the weak-form efficiency of Taiwan Stock Market does not exist.