本文旨在探討在不對稱資訊下，臺灣股市解除匯出管制，以及列入摩根史坦利全 球股價指數後，對國內股市的效率性、流動性、變異性，以及所有股市交易者的福利，有怎 樣的影響。我們發現，加入摩根史坦利股價指數及設立匯出管制，均會使國內股市效率性降 低，變異性及流動性則不一定增加或減少。國內資訊交易者福利增加，但流動性交易者的福 利則不一定增加或減少。另外，我們也發現，由於國際投資者的跨國投資行為，造成國際金 融市場的整合，使得國外經濟的景氣榮衰，間接影響了國內股市的各種表現。

　　　　　This paper examines how the elimination of foreign exchange control by Taiwan government and the incorporation of Taiwan stocks into the Morgan Stanley Capital International Indices (MSCI) respectively affect the performances of our local stock market. We show that they both lead to a lower informational efficiency and a higher abnormal return for domestic informed traders. Moreover, financial markets are essentially integrated in the sense that business cycles in other countries directly impact on the domestic stock market through the trading behavior of international investors.