. The empirical evidence is obtained by calculating cross-correlation coefficients of sectoral stock market returns with …

news shock through their identification. However, the news shock leads to a stock market boom with a negligible impact on …

innovation to stock return correlation in a vector autoregression are nearly identical to those of a news shock about future … productivity. Thus, market-wide changes in return correlation contain information about changes in future technological …

dynamics as news identified through a broader stock price index, patent applications, the relative price of investment or … shocks to the real interest rate. The common theme among these identifications is a technological change in productivity that …