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Dataset
Connected City Stock Demand-to-Supply and Return Factors
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Data range
2017/5/-2018/5
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Data frequencyMonthly
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Data coverage
243 headquarter cities of publicly listed firms in China A-share markets
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Data source
Guba Eastmoney and CSMAR
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Data definition
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Date
Observation date (we only report the end-of-month data, but the paper also used daily data)
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Year-Month
Year and month information
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City (in Chinese)
Focal city covered by stock watchlists in Chinese
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City (in English)
Focal city covered by stock watchlists in English (Pinyin)
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GB ConnectAggregate stock demand-to-supply measure of connected cities to a firm’s headquarter city, defined as the natural logarithm of the weighted sum of GDP of a city to aggregate book equity of firms headquartered in that city across all connected cities to the headquarter city, where the weight is City Pair Connectivity, defined as City Pair Common Investors of the prior day scaled by the city-pair population product.
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GB LocalLocal stock demand-to-supply measure, defined as the natural logarithm of the ratio of city GDP to aggregate book equity of all firms headquartered in the city.
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GB ProximityNatural logarithm of the weighted sum of GDP of a city to aggregate book equity of firms headquartered in that city across all nearby cities to the focal city (within 500 km), where the weight is the inverse of city-pair distance.
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ConnRetConnected city factor return, defined as daily returns on a portfolio by weighting the connected city portfolio return by City Pair Connectivity.
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For details of the definition, please refer to:
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Citation
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Dayong Dong, Danling Jiang, Keke Wu, and Hongquan Zhu, 2024, Game in Another Town: Geography of Stock Watchlists and Firm Valuation, Journal of Banking and Finance, 163, 107164.
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