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

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  • Ge, Shuyi
  • Li, Shaoran
  • Zheng, Hanyu

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.

Suggested Citation

  • Ge, Shuyi & Li, Shaoran & Zheng, Hanyu, 2025. "Diamond cuts diamond: News co-mention momentum spillover prevails in China," Journal of Banking & Finance, Elsevier, vol. 171(C).
    • Handle: RePEc:eee:jbfina:v:171:y:2025:i:c:s037842662400270x
    DOI: 10.1016/j.jbankfin.2024.107356
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    More about this item

    Keywords

    Economic linkage; Big textual data; Momentum spillover; News co-mention; Limited attention;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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