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Spatial spillovers of media sentiment divergence in the stock market: A dynamic spatial Durbin approach

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  • Zhang, Manling
  • Chen, Jing

Abstract

This study investigates the spatial spillover effect of media sentiment divergence on the stock market. Using firms in China from 2005 to 2022 and a dynamic spatial Durbin model, we document significant negative spatial spillover effects of media sentiment divergence on stock prices. Media sentiment divergence not only impacts a company's stock price but also affects firms in neighboring regions. The temporal dynamics of these spillovers are noteworthy: the indirect effects dominate in the short term but disappear over longer horizons. The findings shed new light on the geographical diffusion of media sentiment and information across regions in financial markets.

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  • Zhang, Manling & Chen, Jing, 2025. "Spatial spillovers of media sentiment divergence in the stock market: A dynamic spatial Durbin approach," Economics Letters, Elsevier, vol. 250(C).
    • Handle: RePEc:eee:ecolet:v:250:y:2025:i:c:s0165176525001430
    DOI: 10.1016/j.econlet.2025.112306
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    Keywords

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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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