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.

Exploiting ffnancial news stories data, we construct news-implied linkages and document a strong lead-lag effect of ffrms with shared news coverage in China’s stockmarket. The news-link momentum strategy generates a monthly return of 1.33% and a four-factor alpha (Liu et al., 2019) of 1.43%. While prior evidence on the attention dynamics among ffrms with joint news coverage is limited, we show that the momentum spillover of news-linked ffrms is largely driven by investor underreaction. The return predictability from news links is also robust to controlling for alternative economic linkages. The ffndings suggest that information diffuses sluggishly among news-connected ffrms, thereby providing new evidence on the implication of media coverage for pricing efffciency.