We conduct a comprehensive study on momentum spillovers in the Chinese stock market using varioustypes of economic linkages. We find that the news co-mention momentum spillover is signiffcantly strongercompared to other forms of momentum spillovers. Using spanning tests and Fama-MacBeth regressions,we further show that the news co-mention momentum spillover uniffes 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.

In this paper, using news reports and stock trading data from China, we document that stocks covered by the same media platform tend to comove together and refer to it as media-driven comovement. This finding remains significant both by conducting time series regressions of individual stock returns on co-coverage portfolio returns and by calculating the Pearson correlations among stocks that are co-covered by the same media platform. This is a novel type of comovement since it cannot be fully explained by common factors (e.g., additions to market indices) that lead to comovement but accords well with the investment habitat view. Besides, we find no statistically significant relationship between the frequency of co-coverage and the magnitude of comovement. To better illustrate the economic significance of this media-driven comovement, we construct a trading strategy which earns a monthly return of 115 basis point.