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| Author: | Peng, L. Xiong, W. Bollerslev, T. |
| Title: | Investor attention and time-varying comovements |
| Journal: | European Financial Management
2007 : JUN, VOL. 13:3, p. 394-422 |
| Index terms: | information investors market conditions volatility |
| Language: | eng |
| Abstract: | This study analyses the effect of an increase in market-wide uncertainty on information flow and asset price comovements. The daily realised volatility of the 30-year treasury is used to assess macroeconomic shocks that affect market-wide uncertainty. The ratio of a stock's idiosyncratic realised volatilty is used with respect to the asset price comovement with the market. It is found that market volatility and the comovement of individual stocks with the market increase contemporaneously with the arrival of market-wide macroeconomic shocks, but decrease significantly in the followin five trading days. |
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