Diamond Cuts Diamond: News Co-mention Momentum Spillover Prevails in China

67 Pages Posted: 26 Jun 2023

See all articles by Shuyi Ge

Shuyi Ge

Nankai University - Department of Finance

Shaoran Li

Peking University

Hanyu Zheng

The University of Hong Kong - Faculty of Business and Economics

Date Written: June 06, 2024

Abstract

We conduct a comprehensive study on momentum spillovers in the Chinese stock market using various types of economic linkages, with particular attention to momentum spillover via news co-mention linkages. We utilize millions of Chinese business news articles and develop a flexible and innovative algorithm to identify linkages among listed firms. We find that news co-mention momentum spillover is stronger than others, unifying various forms of momentum spillover effects in the Chinese market and replacing the role of analyst co-coverage seen in the U.S. News co-mention identifies a wide range of economically important linkages, particularly recovering more cross-industry linkages than other link identification methods, which could contribute to its strong performance.

Keywords: Economic Linkage, Big Textual Data, Momentum Spillover, News co-mention, Limited attention

JEL Classification: G11, G12, G14

Suggested Citation

Ge, Shuyi and Li, Shaoran and Zheng, Hanyu, Diamond Cuts Diamond: News Co-mention Momentum Spillover Prevails in China (June 06, 2024). Available at SSRN: https://ssrn.com/abstract=4489005 or http://dx.doi.org/10.2139/ssrn.4489005

Shuyi Ge

Nankai University - Department of Finance ( email )

94 Weijin Road
Tianjin, 300071
China

Shaoran Li (Contact Author)

Peking University ( email )

5 Yiheyuan Road
Beijing, 100871
China

Hanyu Zheng

The University of Hong Kong - Faculty of Business and Economics ( email )

Pokfulam Road
Hong Kong
China

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