The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns-Reference-Cited by-同舟云学术

The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns

Published:2018 Issue: Volume:2018 Page:1-11
ISSN:1076-2787
Container-title:Complexity
language:en
Short-container-title:Complexity

Author:

Zhang Zuochao¹,Zhang Yongjie¹²,Shen Dehua¹²^ORCID,Zhang Wei¹²

Affiliation:

1. College of Management and Economics, Tianjin University, Tianjin 300072, China

2. China Center for Social Computing and Analytics, Tianjin University, Tianjin 300072, China

Abstract

We investigate the dynamic cross-correlations between mass media news, new media news, and stock returns for the SSE 50 Index in Chinese stock market by employing the MF-DCCA method. The empirical results show that (1) there exist power-law cross-correlations between two types of news as well as between news and its corresponding SSE 50 Index return; (2) the cross-correlations between mass media news and SSE 50 Index returns show larger multifractality and more complicated structures; (3) mass media news and new media news have both complementary and competitive relationships; (4) with the rolling window analysis, we further find that there is a general increasing trend for the cross-correlations between the two types of news as well as the cross-correlations between news and returns and this trend becomes more persistent over time.

Funder

National Natural Science Foundation of China

Publisher

Hindawi Limited

Subject

Multidisciplinary,General Computer Science

Link

http://downloads.hindawi.com/journals/complexity/2018/7619494.pdf

Reference50 articles.

1. Stock price reaction to news and no-news: drift and reversal after headlines

2. Stock price reaction to public and private information

3. The effect of macroeconomic news on stock returns: New evidence from newspaper coverage