We analyze global equity market co-movement during the last 25 years using a dynamic spatial model. Based on a generalized autoregressive score model, we analyze the co-movement among global, European, American, and Asian equity markets during various crises including the Asian, the financial,...

This paper uses the co-movement of gold mining shares with the price of gold to assess the strength of flight to quality by distinguishing between flight to physical gold and flight to gold mining company shares. The analysis of a global sample of gold mining companies reveals that flights to...

Google searches for stock tickers and company-specific Wikipedia page views may provide reasonable proxies for latent investor attention that are easily accessible for both researchers and practitioners. We draw upon Shannon transfer entropy, a model-free measure that detects any statistical...

Online investor attention, measured by Google searches, may provide valuable information for the assessment of the co-movement between financial assets. In our empirical analysis, we draw upon an extension of the dynamic conditional correlation model and find that online investor attention is a...