how these two aspects are interrelated. Specifically, we focus on the relationship between the cross-correlation among …

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 …

allows us to go beyond conventional correlation analyses and volatility-spillover models confined to studying pairwise …, captures fairly accurately the dependencies in the world financial markets, providing important implications for policymaking …