Capturing the impact of unobserved sector-wide shocks on stock returns with panel data model

Hong, Kihoon Jimmy, Peng, Bin and Zhang, Xiaohui 2015, Capturing the impact of unobserved sector-wide shocks on stock returns with panel data model, Economic record, vol. 91, no. 295, pp. 495-508, doi: 10.1111/1475-4932.12208.

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Title Capturing the impact of unobserved sector-wide shocks on stock returns with panel data model
Author(s) Hong, Kihoon Jimmy
Peng, BinORCID iD for Peng, Bin orcid.org/0000-0003-4231-4713
Zhang, Xiaohui
Journal name Economic record
Volume number 91
Issue number 295
Start page 495
End page 508
Total pages 14
Publisher John Wiley & Sons
Place of publication Chichester, Eng.
Publication date 2015-12
ISSN 0013-0249
1475-4932
Keyword(s) Cross‐sectional dependence (CSD)
Sector‐wide shocks
Stock returns
Panel data model
Unobserved sector-wide common shocks
Language eng
DOI 10.1111/1475-4932.12208
Indigenous content off
Field of Research 14 Economics
15 Commerce, Management, Tourism and Services
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, Economic Society of Australia
Persistent URL http://hdl.handle.net/10536/DRO/DU:30124462

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Economics
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