Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected …

We provide an entropy approach for measuring asymmetric comovement between the return on a single asset and the market … return. This approach yields a model-free test for stock return asymmetry, generalizing the correlation-based test proposed …. Moreover, our approach also provides an entropy-based measure of downside asymmetric comovement. In the cross-section of stock …

We investigate investor's correlated attention as a determinant of excess stock market comovement. We propose a novel … proxy, "co-attention", that measures the correlation in demand for market-wide information across stock markets approximated … news and fundamentals. Most importantly, we find a positive association between co-attention and excess correlation. This …