Fama於1970年提出效率市場假說，認為市場的價格已充分反應所有可能得到的資訊，無論進行何種交易策略投資人皆無法取得超額報酬。但近年來，諸多學者研究股票市場時，發現反向操作策略與動能操作策略是存在的，並非如效率市場假說所言股價對新資訊能迅速且精確的反應。
本研究以日本、香港、新加坡、台灣、泰國、馬來西亞、菲律賓、南韓及中國等九個國家主要證券交易所之股價指數月資料為研究對象，以1990年1月至2005年8月為研究期間，研究在不同形成期撘配不同持有期下，亞太地區採行反向操作策略與動能操作策略之投資績效，並分析造成策略顯著利潤可能原因。
實證結果發現，就整體而言，亞太地區應採用反向操作策略；將亞太地區依經濟發展狀況區分為已開發國家與新興市場，新興國家應採用反向操作策略，而已開發國家應採用動能操作策略。且研究發現，元月效應與春節效應對策略利潤之解釋並非特殊因素；拆解利潤後發現，持有期較長之動能操作策略，其預期利潤主要來自報酬率期望值之橫斷面變異；而持有期較短之反向操作策略，其預期利潤報酬率時間序列之可預測性與報酬率期望值之橫斷面變異對策略預期報酬之解釋能力約各占一半；過度反應為反向操作策略之主因，而動能操作策略之主因則無規則可循，投資人在操作上應謹慎，否則獲利能力可能受到影響。

This study investigates the efficiency test of contrarian strategies and momentum strategies in Asian Pacific region. There are several purposes in this paper. First, We examine whether the contrarian strategies and momentum strategies can exist significant profits under different formulation horizons and holding horizons. Second, we differentiate between developed countries and emerging markets. We examine whether developed countries and emerging markets can exist significant profits under different formulation horizons and holding horizons. We also examine whether developed countries and emerging markets are suited to different trade strategies. Finally, we analyze the reasons for the significant profits of strategies, including seasonality, time series predictability of returns and cross-sectional variation in the mean returns, and underreaction, over-reaction, and random walk.
Empirical results indicate that the contrarian strategies are more successful in Asian Pacific region. We also find that the momentum strategies are suites to developed countries in Asian Pacific region, and the contrarian strategies are suited to emerging markets in Asian Pacific region. After analyzing the reasons for the significant profits of strategies, we find that seasonality is not specific reason for the trade strategies. The profits of momentum strategies cause from cross-sectional variation in the mean returns, and the profits of contrarian strategies cause from both of them (time series predictability of returns and cross-sectional variation in the mean returns). Overreaction is the major cause for the contrarian strategies, but we can’t find what the main cause is for momentum strategies. So investors should use the momentum strategies very carefully.

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