本研究針對台灣股市，以月資料為選擇，針對標的股票做動能效應的檢定，藉以了解台灣股市的股票價格是否有價格持續性。研究資料來自於台灣經濟新報社資料庫，研究方法乃以高股息股為對象，根據過去數月的報酬做排序，觀察前百分之十與後百分之十的股票分別後續幾月的報酬。另外還有針對產業情形進行檢驗以及針對股市多空頭狀況下，比較動能投資策略的報酬率。
研究結果發現，在高股息樣本下，以月資料來說，投資人於形成期與持有期介於1-9個月可賺取正報酬，而長期利用反向操作策略也可以獲取正報酬。
在多頭市場下，動能策略投資組合在短期可以產生正報酬。在空頭市場下，則大多為負報酬，持有期越長，負報酬率就越大。實證結果高股息股在多頭與空頭市場，動能效應存在顯著的差異。
有關產業因素對於高股息股的動能效應影響，在形成期1個月持有期1、3、6個月及形成期3個月持有期1個月的投資組合，呈現顯著正報酬，支持高股息股的動能效應是來自於產業因素。
The Samples of this study are choosen from the monthly data of Taiwan Stock exchange market. The momentum effect of unerlying stocks is tested to examine the existence of price duration in the stock price of Taiwan market.
The outcome of empirical study show that investors are able to earn positive strategic returns through employing the momentum strategy using a formation and holding period of between one to nine month,and moreover,investors are able to earn returns through employing the contrarian strategies in long term.
In addition, In a bull market, the momentum strategy portfolio can generate positive returns in the short term. In the bear market, the most negative returns greater the longer the holding period, the negative rate of return. The empirical results of high-dividend stocks in bull and bear markets, the momentum effects are significant differences.
Finally, in J1/K1, J1/K3, J1/K6, J3/K1 are significant postitive returns to support the momentum effect of the high-dividend stocks from industryfactor.
