本研究分析台灣不同產業類股在不同期間的共同波動性，並觀察這些波動性受到潛在共同因子的影響的程度。我們使用稀疏因子模型將股價報酬率的波動性拆解為共同因子和特殊性成分的組合，以清楚識別市場上系統性風險和個別產業固有衝擊對其股價報酬率的影響。

研究結果表明，在遭遇負面的總體或經濟事件時，個股股價報酬率大部分的波動性可以歸咎於共同因子，說明系統性風險在很大程度上影響台灣各產業的股價報酬率。相對地，在一般的經濟環境下，各產業間的股價報酬率具有高度稀疏性，亦即某些特定產業展現出特有的波動方向及程度，股價報酬率不被共同因子所解釋。

這些研究結果為投資者在建立投資組合時提供了多樣化的參考依據，透過對數據資料的分析，幫助投資者更精準地評估在遇到類似經濟事件時，該如何選擇合適的個股來配置其資產。

This study analyzes the common volatility among different industry stocks in Taiwan across various periods, focusing on the influence of latent common factors. Using a sparse factor model, we decompose stock return volatility into common factors and idiosyncratic components to identify the impact of systematic risks and industry-specific shocks.

The results show that during adverse macroeconomic events, most individual stock volatility is due to common factors, indicating significant systematic risk across industries. Conversely, under normal conditions, stock returns show high sparsity, with certain industries exhibiting unique volatility patterns not explained by common factors.

These findings offer valuable insights for investors in building diversified portfolios, helping them to better select appropriate stocks during different economic conditions through data analysis.

郭維裕, 李淯靖, 陳致綱, 林建秀 (2015)。台灣產業指數的外溢效果。經濟論文叢刊, 43(4), 407-442。

國家發展委員會。台灣景氣指標月刊, 第48卷第2期。

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