Attention allocation and international stock return comovement: Evidence from the Bitcoin market

We employ extreme Bitcoin returns as exogenous shock events to investigate the impact of investor attention allocation on worldwide stock return comovement. We find that (1) these shock events decrease worldwide stock return comovement, (2) there is an asymmetric effect in which a crash shock event has a greater impact on return comovement than a jump shock event, and (3) the impact of these shock events on equity comovement is more pronounced in emerging markets. Our results suggest that identifying extreme Bitcoin returns will benefit portfolio construction. Our results may be of considerable interest to investors, as well as to academics interested in portfolio diversification, asset comovement, and cryptocurrencies.