The profitability and the sources of the returns on momentum strategy have always been a popular subject of study in the financial field. Nevertheless, there exist significant discrepancies between the conclusions of the papers due to the difference in time period and the emphasis on average results. Thus, the purpose of this paper is to investigate momentum strategy with information uncertainty in Taiwan stock market during the period 1990-2009 given the basis on the research method of Jegardeesh and Titman(1993). The result shows that momentum strategy cannot averagely obtain significantly positive returns in the long run in Taiwan stock market and moreover it presents an enormous short-term reversal. Besides, in terms of business cycle, there is still no significant return on momentum strategy either; there will be significantly negative return when implementing momentum strategy in the recession of business cycle. On the other hand, from the view of investor psychological biases, it should be seen greater psychological biases owing to greater information uncertainty. As a result, a stronger stock price continuation may be observed under high information uncertainty stocks. However, the effect of information uncertainty is only pronounced among loser portfolios. To summarize, compared with the profitability and the stability of contrarian strategy, the findings support that there is no significant momentum phenomena in Taiwan stock market at all.