Diamond Cuts Diamond: News Co-mention Momentum Spillover Prevails in China
48 Pages Posted: 26 Jun 2023
Date Written: June 23, 2023
We conduct a comprehensive study on momentum spillovers in the Chinese stock market using various types of economic linkages. We find that the news co-mention momentum spillover is significantly stronger compared to other forms of momentum spillovers. Using spanning tests and Fama-MacBeth regressions, we further show that the news co-mention momentum spillover unifies all different forms of momentum spillover effects in the Chinese stock market. Notably, the analyst co-coverage momentum spillover effect, which is the dominant species in the US stock market, is subsumed by the news co-mention momentum spillover effect in the Chinese stock market. We further explore the differences in the information content of links implied by news co-mentioning and other proxies. We suggest that the dominance of news co-mention momentum spillover over others can be attributed to two primary factors: comprehensive information and prompt updates.
Keywords: Economic linkage, Momentum spillover, News co-mention, Limited attention
JEL Classification: G11, G12, G14
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