Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/194720 
Year of Publication: 
2017
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 5 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2017 [Pages:] 1-18
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
It is very important to identify deviation mechanism of price volatility of an industry asset and the affecting factors, and it is important to give the reasonable explanation and measurement to the abnormality of price volatility of the industry asset. This paper adopts heterogeneous panel and exploratory factor analysis methods, measuring industry risk by industry risk premium index, and constructs an industry MVS three dimensions vector factor model to analyze the factors consistent and affecting extent to industry risk. Furthermore, this paper analyzes simultaneously the linkage effect and working mechanism of multi-industries risks and gives an empirical research to determinants mechanism affecting industry risk.
Subjects: 
industry risk
noise investor irrational sentiment
industry MVS model
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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