编号：E-2023-9-1
题目：Diamond Cuts Diamond: News Co-mention Momentum Spillover Prevails in China
作者：Shuyi Ge, Shaoran Li, Hanyu Zheng
联系方式：Shaoran Li, lishaoran@pku.edu.cn
摘要： We conduct a comprehensive study on momentum spillovers in the Chinese stock market using various types of economic linkages. By developing a flexible and innovative algorithm to identify linkages among listed firms using millions of Chinese business news articles, 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.
关键词：Economic Linkage, Big Textual Data, Momentum Spillover, News co-mention, Limited attention
