Spatial spillovers of media sentiment divergence in the stock market: A dynamic spatial Durbin approach

Manling Zhang and Jing Chen

Economics Letters, 2025, vol. 250, issue C

Abstract: This study investigates the spatial spillover effect of media sentiment divergence on the stock market. Using firms in China from 2005 to 2022 and a dynamic spatial Durbin model, we document significant negative spatial spillover effects of media sentiment divergence on stock prices. Media sentiment divergence not only impacts a company's stock price but also affects firms in neighboring regions. The temporal dynamics of these spillovers are noteworthy: the indirect effects dominate in the short term but disappear over longer horizons. The findings shed new light on the geographical diffusion of media sentiment and information across regions in financial markets.

Keywords: Media sentiment divergence; Dynamic spatial Durbin model (DSDM); Spatial spillover effect; Stock market (search for similar items in EconPapers)
JEL-codes: C21 G10 G12 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:250:y:2025:i:c:s0165176525001430

DOI: 10.1016/j.econlet.2025.112306

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