本研究以Jegadeesh and Titman (1993)動能投資策略，加入Fama和French (1992, 1993)三因子模型探討台灣股票市場個別風險對動能報酬之影響。研究期間為1980年1月至2018年8月，並分成全體上市櫃、電子和非電子來進行研究。第一，檢定贏家、輸家及動能報酬，研究結果發現只有在電子類上市櫃公司有存在動能報酬，然後在形成期12個月(h)與持有期(k)12個月的全體、電子和非電子皆出現反轉報酬，因此以長期來看，台股的動能報酬並不明顯。第二，檢定個別風險形成之動能報酬，研究結果發現台灣上市櫃公司，在加入個別風險後，顯著水準相對於未加入個別風險因子的結果來的多，全體上市櫃公司和非電子上市櫃公司有動能報酬的地方主要都座落於低(Low)和中(Med)的個別風險，而且輸家(P1)至贏家(P5)的累積報酬有愈來愈高的現象，因此可以解釋個別風險有動能報酬。第三，檢定動能、個別風險在不同的市場狀態之關係，研究結果發現未加入個別風險因子的贏家、輸家及動能報酬之市場狀態，研究結果顯示絕大部分都在UP/UP的多頭市場有動能報酬，所以本研究發現動能只會在市場狀態好的時候才會出現動能報酬。然而，加入個別風險後形成的動能報酬之市場狀態，研究結果發現低和高的個別風險沒有顯著差異，因此市場狀態跟個別風險高低，不會影響動能報酬。 This study uses the concept of Jegadeesh and Titman (1993) momentum strategies and combines with three factor model of Fama and French (1992, 1993) to explore the relationships among momentum, idiosyncratic volatility and market condition in Taiwan stock market from January 1980 to August 2018. The stock market in Taiwan is divided into electronic and non-electronic industries to investigate the relationships. First, the results found that there is momentum return in the electronic listing companies. Second, to verify the momentum return of idiosyncratic volatility, the results show that the idiosyncratic volatility is a key factor compared with the results of momentum return. Furthermore, the significant results are mainly in the low and medium idiosyncratic volatility, and the cumulative return of the loser to the winner has more and more high signs, so can explain the idiosyncratic volatility of momentum return. Third, the study found that the market state is in the UP/UP state has momentum return. The market state of momentum return return with idiosyncratic volatility, this study found that there is no significant difference between high and low idiosyncratic volatility.
