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The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns
Joint Authors
Zhang, Wei
Shen, Dehua
Zhang, Zuochao
Zhang, Yongjie
Source
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-02-26
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Zhang, Zuochao& Zhang, Yongjie& Shen, Dehua& Zhang, Wei. 2018. The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns. Complexity،Vol. 2018, no. 2018, pp.1-11.
https://search.emarefa.net/detail/BIM-1135883
Modern Language Association (MLA)
Zhang, Zuochao…[et al.]. The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns. Complexity No. 2018 (2018), pp.1-11.
https://search.emarefa.net/detail/BIM-1135883
American Medical Association (AMA)
Zhang, Zuochao& Zhang, Yongjie& Shen, Dehua& Zhang, Wei. The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns. Complexity. 2018. Vol. 2018, no. 2018, pp.1-11.
https://search.emarefa.net/detail/BIM-1135883
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1135883