Causalities among momentum, transparency and media in China

Abstract

We studied the relationships among momentum, transparency, and media by causality detections in Chinese stock markets. Our results suggest that momentum strongly and individually attracts media coverage in China, as this effect exists both in the Granger test and the transfer entropy test. Media coverage causes momentum only in Granger test, which is consistent with Hillert et al. (2014). In other words, momentum and media coverage are tightly related to each other in China. In the Granger test, transparency causes momentum with the assistance of media coverage, and it receives media coverage with the assistance of momentum. These results suggest that transparency has to release its information because of the pushing power from momentum or media. In the transfer entropy test, transparency can individually cause momentum or media coverage, which implies that transparency indirectly releases information when there is no influence of momentum or media.