Diamond cuts diamond: News co-mention momentum spillover prevails in China

Shuyi Ge, Shaoran Li and Hanyu Zheng

Journal of Banking & Finance, 2025, vol. 171, issue C

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.

Keywords: Economic linkage; Big textual data; Momentum spillover; News co-mention; Limited attention (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:171:y:2025:i:c:s037842662400270x

DOI: 10.1016/j.jbankfin.2024.107356

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