We investigate sector level information spillover dynamics between energy and other futures market sectors using a novel common factor approach. The heteroscedastic principal component common factors are derived for each market sector using the daily returns of 176 leading futures contracts...

We present a modelling approach for sector asset pricing studies that incorporates sector-level risk factors, subgroup portfolios, and structural breakpoint tests that are better at isolating the time-varying nature and the firm-specific component of returns. Our results show considerable...