We characterize co-movements in investor attention by modeling multivariate internet search volume data. Using a variety of copula models that can capture both asymmetric and skewed dependence, we find empirical evidence of strong non-linear and asymmetric dependence in the attention investors...

We use internet search volume data to measure household sentiment and attention for deposit insurance in the U.S. to explain depositor behavior. We find market-level sentiment to cause depositors to withdraw both demand and time deposits from small and medium-sized banks and to run to big banks....