This research applies a Markov switching model to analyze the impacts of various macro-variables on the excess return of growth stocks and value stocks, based on Gulen, Xing and Zhang (2010) and Perez-Quiros and Timmermann (2000). Using monthly return data from Taiwan stock market for empirical study, the results show that under different systematic risks, the expected value premium increase or decrease significantly when the volatility of the economy is high. On the other hand, when the volatility of the economy is low, the premium is relatively stable.