Investor Attention and Time‐varying Comovements
研究市场不确定性上升如何影响信息流和资产价格联动性，发现市场波动与个股联动性在宏观冲击到来时同步上升，随后五个交易日显著下降，支持投资者注意力先转向市场信息再回归个股信息的假说。
Abstract This paper analyses the effect of an increase in market‐wide uncertainty on information flow and asset price comovements. We use the daily realised volatility of the 30‐year treasury bond futures to assess macroeconomic shocks that affect market‐wide uncertainty. We use the ratio of a stock's idiosyncratic realised volatility with respect to the S&P500 futures relative to its total realised volatility to capture the asset price comovement with the market. We find 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 following five trading days. This pattern supports the hypothesis that investors shift their (limited) attention to processing market‐level information following an increase in market‐wide uncertainty and then subsequently divert their attention back to asset‐specific information .