在本篇研究中，我們考慮了非預期訊息進而檢定歐元兌美元外匯市場的效率性。有別於之前文獻使用的訊息不完整且可能不為真實的訊息，本文是考慮所有美國及歐盟定期公布的相關經濟數據與指標，並定義非預期訊息為數據真實值與預期值之間的差距。本文實證結果指出，在金融海嘯前無法棄卻市場具效率性假說，但此一結果在金融海嘯發生後卻不成立。除此之外，非預期訊息的衝擊確實會影響外匯市場效率性檢定的結果。因此過去文獻無法支持市場效率性假說之原因可能源自於忽略了非預期訊息的考量。另外，我們也發現美國訊息與歐盟訊息存在不對稱的影響力，且市場傾向於忽略歐盟區的數據。

In this paper, we examine the hypothesis of market efficiency in euro/dollar with un-anticipated news, which are defined as the difference between actual values and the market’s forecasts. The research data are divided into two periods of time, before and after the beginning of financial crisis. Unlike previous literatures in which the un-anticipated news are incomplete and may be unreal, our paper adopted all macroeconomic announcements and indicators of United States and the European Union. Our results before the financial crisis indicate that the market efficiency hypothesis is accepted, although the result fails to hold after the financial crisis. The result still shows the importance of the un-anticipated news in testing the foreign exchange market efficiency hypothesis. Therefore the rejection of efficiency hypothesis on foreign exchange market in the literature may result from the lack of un-anticipated news in the model. In addition, we found that impacts of U.S. and E.U. un-anticipated news are asymmetric on the exchange rate. Besides, the market participants tend to ignore the E.U. news during both periods of time.