This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market … significant comovement in returns and liquidity of stocks within the resultant clusters. This comovement is linked but not … fund holdings, industries, and companies’ locations. This evidence suggests this comovement is in excess of what rational …

This study proposes a wavelet procedure for estimating partial correlation coefficients between stock market returns …

empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to … with time-varying copula yields statistically better forecasts of the dependence and quantiles of the distribution relative …