... into account to extract the independent shocks of each variable. Subsequently, a causality in-mean and in-variance analysis is performed to test the influence of Google searches on financial market variables, specifically, to test whether there is an influence on the idiosyncratic returns of financial assets...

... to detect herding, the authors use Geweke (1982) type causality tests that allow authors to disentangle spurious herding from intentional herding via tests of bidirectional and instantaneous causality across portfolio positions in technology stocks. Findings After controlling information-based (spurious...