The purpose of this study was to verify short-term investment performance in Taiwan stock market by using daily returns and zero investment portfolios. According to relevant legal constraints, transaction costs were deducted, stocks at their rising or falling limit were excluded, and the establishment of momentum strategies was delayed for one week to verify. We observed a price momentum phenomenon and investigated investor sentiment regarding the stock market turnover rate and the ratio of the margin purchase balance to short-sale cause of that. Furthermore, we identified operations that facilitate increasing returns on investments by simulating short-term momentum investment portfolios.