Do industries lead stock markets?

Cross-autocorrelations in European stock returns

“…Ewing (2002) examines five major S&P indices and concludes that shocks to an index can account for much of the fluctuation in other indices. Hong et al (2007) find that the returns of a significant number of US industry portfolios can be used to forecast the movements of the stock market and, furthermore, similar results are obtained for other non-US markets. Kong et al (2009) find that different industry portfolios present different predictability when considering a variety of economic variables and lagged industry returns as predictors.…”

New Evidence on the Information and Predictive Content of the Baltic Dry Index

“…Rockinger [7]; Boldrin et al [8]; Estrella et al [9]; Vassalou [10]; Duarte et al [11]; Hong et al [12]; Clements and Galvao [13]; Cooper and Priestley [14]; Marcellino and Schumacher [15], amongst others). Theoretically, changes in industrial production lead to changes in activity, employment and liquidity in the economy.…”

Rational inattention and the dynamics of consumption and wealth in general equilibrium

“…Figure 2 clearly shows that the optimal level of attention is decreasing with the value of EIS for different values of the marginal information-processing cost. 26 That is, when consumers are more reluctant in substituting their consumption over time (low EIS), they choose to devote more capacity and attention to monitoring the evolution of the state. The intuition behind this result is that when inattentive consumers really like flat consumption profile, they devote more attention to monitoring the state in order to avoid making the consumption profile steep, which occurs with low attention due to "accidental savings".…”