Investigating Dynamic Connectedness of Global Equity Markets : The Role of Investor Attention

This study examines global equity market investor attention connectedness prior and during the COVID-19 period. Our empirical analysis focusses on weekly data of 23 international stock markets and employs fully-fledged time-varying parameter vector autoregressive (TVP-VAR) based connectedness approach. We find that the investor attention spillovers are persistent among global equity markets, and developed markets have a dominant role as shock transmitters. The spillover effect increases significantly amidst the COVID-19 pandemic period due to escalating market turmoil. Findings suggest that attention spillover information has important implications for increasing our understanding of cross-asset and cross-market shock transmission and co-movement dynamics. Our results offer additional insights to investors and speculators to design better portfolio strategies by considering net spillover effects of investor attention between numerous equity markets