Diamond Cuts Diamond : News Co-mention Momentum Spillover Prevails in China

We conduct a comprehensive study on momentum spillovers in the Chinese stock market using various types of economic linkages. 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