本文目的為探討價格動能策略和流動性之間的交互作用。流動性對於資本市場的重要性，一直以來均是國內外學者所矚目的焦點。本文實証上參照Lee and Swaminathan (2000)的研究方法，搭配價格動能及流動性來建構投資策略，探討在台灣證券市場中，動量生命循環週期假說是否亦成立。
有別於之前國內學者探討動量生命循環週期假說時，皆使用Fama and French (1993)之三因子模型來驗證所建構的動能策略效果顯著。本文採用由Hogan, Jarrow, Teo and Warachka(2003)提出的統計套利模型，來驗證台灣證券市場中，搭配價格動能與流動性的策略是否存在異常報酬。此套利模型的強效性在於市場不符合效率性的假設下，仍然成立。
本研究結果顯示，運用價格動能搭配流動性衡量指標建構而成的投資策略，長期實行下來會符合統計套利的模型，產生近似無風險的永久性累積報酬。如果運用的流動性指標為「成交量」、「成交筆數」和「平均成交張數」搭配價格動能所建構的投資策略，更是符合於Lee and Swaminathan (2000)提出的動量生命週期循環。
此外，我們發現台灣的市場在一個月內對於訊息存在著反應不足的現象，適合採取「價格動能」的策略；很快的在三個月之後市場對於訊息會充斥著反應過度，適合採取「反向操作」的策略。可能原因為，台灣股市的敏感性較強，投資人會對由市場取得的資訊過度自信以及市場中會跟隨法人操作進行追漲殺跌策略的散戶投資者居多數，造成價格追漲殺跌的速度較迅速，很快就會超過它的合理價位。當價格越快超過合理價位時，也就會越快反轉。

Abstract
This paper examines the interaction between price momentum and liquidity. The importance of liquidity to the capital market has long been recognized by academics and practitioners. This paper is aligned with Lee and Swaminathan (2000). We intend to demonstrate that the trading strategies followed by price momentum and liquidity could be powerful in explaining that The Momentum Expectation Life Cycle Hypothesis also exists in Taiwan stock market.
This study is distinct from the previous research which claimed that their trading strategies still performed well when using the Fama and French (1993) three-factor model to explain. We introduce the concept of statistical arbitrage proposed by Hogan, Jarrow, Teo and Warachka (2003) to test if the Taiwan stock market exist price anomalies when using the trading strategies based on price momentum and liquidity. Statistical arbitrage is robust, because its existence is inconsistent with market efficiency. The empirical result shows that by using the trading strategies based on price momentum and liquidity, we can get the risk-less excess return in the long time.
Besides, we find that it’s useful to take ’’price momentum strategy” in one month and “contrary strategy” over three months in Taiwan stock market. The reason might be investors in Taiwan are over-confidence and more sensitive, it will cause the price get to its fair value and over-react faster. The faster the price gets to its fair value, the sooner the price reverses.

Keywords: Liquidity, Price momentum, Statistical arbitrage,
The Momentum Expectation Life Cycle Hypothesis

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