自Jegadeesh和Titman（1993）發展出動能策略之後，有大量的研究指出此策略在不同市場中皆可帶來顯著的報酬。因此，此研究將探討其應用於臺灣市場之實證性，同時亦將運用僅揭露於臺灣市場之籌碼集中度資料測試其是否可帶來高於動能策略之報酬。實證結果顯示以籌碼集中度資料篩選投資組合，確實可為投資人帶來超額報酬。最後，此研究以臺灣上市公司股票建構二階段的篩選模型，先以股票之過去報酬高低將樣本分為五等分，接著進一步以股票籌碼集中度資料作為第二階段篩選，將每等分樣本再細分為三等分。經篩選後之股票，以買進最高動能且最高籌碼集中度及放空最低動能且最低籌碼集中度之多空對沖策略投資，發現其可帶來顯著的超額報酬。

A significant number of studies argue that the momentum strategy developed by Jegadeesh and Titman (1993) can result in significant profits in different markets. Therefore, test this supposition in this thesis to determine if this finding is robust in the context of the Taiwan stock market. In parallel with the momentum strategy, we use unique data only available in the Taiwan stock market, i.e. the “stake concentration ratio (SCR, hereafter),” to determine whether the SCR can further enhance the performance of the momentum strategy. Our empirical results tend to suggest that using the SCR can bring positive abnormal returns for investors. Finally, we form a two-dimensional stock-picking criterion by ranking all candidate stocks into quintiles by their past returns first and then into tertiles by their SCR. In particular, a long/short strategy by going long in the top momentum-top SCR portfolio and going short in the bottom momentum-bottom SCR portfolio is created and found to bring significant, positive abnormal returns.

Barberis, N., A., Shleifer, and R., Vishny (1998). “A Model of Investor Sentiment.” Journal of Financial Economics, 49(3), 307-343.
Blitz, D., J., Huij, and M., Martens (2011). “Residual momentum.” Journal of Empirical Finance, 18(3), 506-521.
Carhart, M. M. (1997). “On Persistence in Mutual Fund Performance.” The Journal of Finance, 52(1), 57-82.
Carter, R. B., F. H. Dark, and A. K. Singh (1998). “Underwriter Reputation, Initial Returns, and the Long‐Run Performance of IPO Stocks.” The Journal of Finance, 53(1), 285-311.
Chui, A. C., S. Titman, and K. J. Wei (2003). “Intra-Industry Momentum: The Case of REITs.” Journal of Financial Markets, 6(3), 363-387.
Daniel, K., D., Hirshleifer, and A., Subrahmanyam (1998). “Investor Psychology and Security Market Under‐ and Overreactions.” The Journal of Finance, 53(6), 1839-1885.
De Bondt, W. F., and R. H., Thaler (1985). “Does the Stock Market Overreact?” The Journal of Finance, 40(3), 793-805.
De Bondt, W. F. and R. H., Thaler (1987). “Further Evidence on Investor Overreaction and Stock Market Seasonality.” The Journal of Finance, 42(3), 557-581.
Desai, H., and P. C. Jain (1997). “Long‐Run Common Stock Returns Following Stock Splits and Reverse Splits.” The Journal of Business, 70(3), 409-433.
Fama, E. F. (1970). “Efficient Capital Markets: A Review of Theory and Empirical Work.” The Journal of Finance, 25(2), 383-417.
Fama, E. F., and K. R. French (1993). “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics, 33(1), 3-56.
Foster, K. R. and A. Kharazi (2008). “Contrarian and Momentum Returns on Iran's Tehran Stock Exchange.” Journal of International Financial Markets, Institutions and Money, 18(1), 16-30.
French, K. R. (1980). “Stock Returns and the Weekend Effect.” Journal of Financial Economics, 8(1), 55-69.
George, T. J. and C. Y. Hwang (2004). “The 52‐week high and momentum investing.” The Journal of Finance, 59(5), 2145-2176.
Griffin, J. M., X. Ji, and J. S. Martin (2003). “Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole.” The Journal of Finance, 58(6), 2515-2547.
Hong, H., and J. C., Stein (1999). “A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets.” The Journal of Finance, 54(6), 2143-2184.
Huang, C. H. (2014). “Dynamic Relations Between VADO Index, Stock Returns and Turnover Ratio from the Taiwan Stock Market：Based on Firm Characteristics.” Master Thesis, Department of Economics College of Social Sciences, National Taiwan University.
Huang, Y. S., T. W., Fu, and M. C., Ke (2001). “Daily Price Limits and Stock Price Behavior: Evidence from the Taiwan Stock Exchange.” International Review of Economics & Finance, 10(3), 263-288.
Jegadeesh, N. and S. Titman (1993). “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” The Journal of Finance, 48(1), 65-91.
Lakonishok, J., A., Shleifer, and R. W., Vishny (1994). “Contrarian Investment, Extrapolation, and Risk.” The Journal of Finance, 49(5), 1541-1578.
Li, C. A., J. S. Luo, and Y. Y. Su (2006). “Momentum Returns, Investor Sentiments and Business Cycle.” Journal of Financial Studies, 14(2), 73-109.
Lin, C., K. C., Ko, Z. X., Feng, and N. T., Yang (2016). “Market Dynamics and Momentum in The Taiwan Stock Market.” Pacific-Basin Finance Journal, 38, 59-75.
Lin, M. C. (2004). “Underreaction, Trading Volume, and Momentum Profits in Taiwan Stock Market.” Asia Pacific Management Review, 9(6), 1115-1142.
Lin, M. C. (2005). “Asymmetric Reaction in the Taiwan Stock Market: Overreaction to Bad News and Underreaction to Good News.” Sun Yat-Sen Management Review, 13(4_S), 7-39.
Moskowitz, T. J. and M. Grinblatt (1999). “Do industries explain momentum?” The Journal of Finance, 54(4), 1249-1290.
Moskowitz, T. J., Y. H. Ooi, and L. H. Pedersen (2012). “Time Series Momentum.” Journal of Financial Economics, 104(2), 228-250.
Reinganum, M. R. (1983). “The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effects.” Journal of Financial Economics, 12(1), 89-104.
Sharpe, W. F. (1964). “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.” The Journal of Finance, 19(3), 425-442.
Wang, K. Y., C. H., Jiang, and Y. S., Huang, (2009). “Market States and the Profitability of Momentum Strategies: Evidence from the Taiwan Stock Exchange.” The International Journal of Business and Finance Research, 3(1), 89-102.
Wu, C. H., C. S., Wu, and V. W., Liu (2009). “The Conservatism Bias in an Emerging Stock Market: Evidence from Taiwan.” Pacific-Basin Finance Journal, 17(4), 494-505.
Zhang, C. and W., Gao (2011). “Stock Forecasting Model Based on the Transfer of Trading Volume” Journal of Soochow University (Natural Science Edition), 27(1), 20-24.