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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...
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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...
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