Empirical research into sectoral comovement
A relevant paper could be:

Veldkamp, Laura &amp; Wolfers, Justin, 2007. "Aggregate shocks or aggregate information? Costly information and business cycle comovement," Journal of Monetary Economics, Elsevier, vol. 54(Supplemen), pages 37-55, September. 

NBER Working Paper version: https://www.nber.org/papers/w12557

Published version: https://www.sciencedirect.com/science/article/abs/pii/S0304393207000529