Journal of Banking & Finance Vol. 171 2025
Diamond cuts diamond: News co-mention momentum spillover prevails in China
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 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 contributes to its strong performance.
- DOI
- 10.1016/j.jbankfin.2024.107356
- Volume
- 171
- Pages
- 107356
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib