In this paper, we introduce the first dataset that records the news co-mention relationships in the Chinese A-share market. In total, we collected 1,138,247 pieces of news articles that at least mentioned one listed firm in the A market from major Chinese media and financial websites from September 1999 to December 2022. The development of this dataset could enable data scientists and financial economists to investigate the network of stocks through news co-mention in the Chinese stock market. The dataset could also help to construct novel portfolio strategies like the cross-firm momentum strategy with news-implied links as in Ge et al. (2023).

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.