本研究針對台灣股市，以成交量和營收動能交互作用來探討動能生命週期的適用性。研究對象為台灣證券交易所上市和中華民國證券櫃檯買賣中心上櫃的普通股，研究期間為1993年1月至2012年12月。 本研究結果得到的結論為早期動能策略，其報酬將延續前期強勢；晚期動能策略，其報酬將醞釀反轉向下。台灣股市並非完全效率市場，投資人可以藉由各種動能策略來賺取異常報酬。低週轉率投資組合未來的報酬將超過高週轉率投資組合。成交量有能力預測營收動能反轉之時機；而此成交量與營收動能的交互關係符合Lee and Swaminathan (2000)的動能生命週期(momentum life cycle, MLC)假說。 This research mainly examines whether the momentum life cycle hypothesizes exist in Taiwan stock market by sales momentum and trading volume. In this thesis, the main research objects are the listed common stock in Taiwan Stock Exchange Corporation and Gre Tai Securities Market during the period 1993 — 2012. According to the empirical result, the conclusions are that Taiwan stock market is not an efficient market and the return of low abnormal turnover portfolio will better than high abnormal turnover portfolio. Trading volume can predict price reversal of sales momentum .The Momentum Life Cycle exists in Taiwan stock market.
