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1、EuropeanFinancialManagement,Vol.13,No.3,2007,394–422doi:10.1111/j.1468-036X.2007.00366.xInvestorAttentionandTime-varyingComovementsLinPengDepartmentofEconomicsandFinance,ZicklinSchoolofBusiness,BaruchCollegeE-mail:linpeng@baruch.cuny.eduWeiXiongDepartmentofEconomicsandBendheimCenterforFinance,Princ
2、etonUniversity,andNBERE-mail:wxiong@princeton.eduTimBollerslevDepartmentofEconomics,DukeUniversity,andNBERE-mail:boller@econ.duke.eduAbstractThispaperanalysestheeffectofanincreaseinmarket-wideuncertaintyoninformationflowandassetpricecomovements.Weusethedailyrealisedvolatilityofthe30-yeartreasurybon
3、dfuturestoassessmacroeconomicshocksthataffectmarket-wideuncertainty.Weusetheratioofastock’sidiosyncraticrealisedvolatilitywithrespecttotheS&P500futuresrelativetoitstotalrealisedvolatilitytocapturetheassetpricecomovementwiththemarket.Wefindthatmarketvolatilityandthecomovementofindividualstockswithth
4、emarketincreasecontemporaneouslywiththearrivalofmarket-widemacroeconomicshocks,butdecreasesignificantlyinthefollowingfivetradingdays.Thispatternsupportsthehypothesisthatinvestorsshifttheir(limited)attentiontoprocessingmarket-levelinformationfollowinganincreaseinmarket-wideuncertaintyandthensubseque
5、ntlydiverttheirattentionbacktoasset-specificinformation.Keywords:limitedattention;informationflow;comovement.JELclassification:G141.IntroductionThedeterminantsofassetpricefluctuationareoneofthecentraltopicsinfinancialeconomics.Inparticular,thereisnowampleempiricalevidencethatcomovementamongassetpri
6、cesvariesovertime,andalsotendstobeexcessivelyhighduringvolatileperiods,e.g.,Hamaoetal.(1990),Linetal.(1994),andLonginandSolnik(1995).Moreover,studiesbyFrenchandRoll(1986)andAndersen(1996),amongmanyothers,haveshownthatassetpricefluctuationsareintimatelylinkedtotheamountofinformationthatflowsPengthan
7、ksthefinancialsupportfromaEugeneLangJuniorFacultyResearchFellowshipandaPSC-CUNYResearchAward.Bollerslev’sworkwassupportedbyagrantfromtheNSFtotheNBER.C2007TheAuthorsJournalcompilationC2007BlackwellPublishi
