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Volume 2018, Article ID 7619494, 11 pages
Research Article

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

1College of Management and Economics, Tianjin University, Tianjin 300072, China
2China Center for Social Computing and Analytics, Tianjin University, Tianjin 300072, China

Correspondence should be addressed to Dehua Shen; nc.ude.ujt@shd

Received 4 November 2017; Revised 29 December 2017; Accepted 17 January 2018; Published 26 February 2018

Academic Editor: Benjamin M. Tabak

Copyright © 2018 Zuochao Zhang et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


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.