本文採用 Chib， Nardari， 與 Shephard(2006) 的多變量動態因子隨機波動模型(MSV)， 來探討美、日、台三國的資訊、電腦類股股價報酬率波動的共同行為。 我們將模型中的因子解釋為產業的前景或信心，並藉由模擬的方式描繪出其樣貌，進而希望了解產業景氣循環在股價的波動行為中扮演什麼角色。 研究財務市場間的關聯性一值是一項重要的課題，也發展出各種的模型來描述既有的現象。 MSV 模型將看不到的解釋變量數量化，並將變數的波動行為切割為可由因子所解釋與不能解釋的部分。 且藉由將觀察值的誤差項以及單一因子的波動行為設定為隨機波動，放寬共變數變異數矩陣為定值的假設，讓每一時點都能依時變動，在同類的模型中對資料的設定是較少的。 在實證分析中我們有幾點發現：1. 因子能夠解釋資產間的波動行為，其反映在扣除因子波動之後的自有波動，其波動水準值的降低。 2. 在股價波動劇烈期間，因子解釋能力提高。 3. 因子的解釋能力在不同的國家中差異幅度很大，日本有超過一半的波動可以為因子的波動所解釋，而因子在台灣股價的波動行為只有兩成左右的解釋能力。

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