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

<div>Cross-correlation test <span class="nowrap"><svg height="12.584pt" id="M53" style="vertical-align:-3.29567pt" version="1.1" viewbox="-0.0498162 -9.28833 46.2005 12.584" width="46.2005pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M300 -147C201 -63 143 98 143 270S200 602 300 686L282 710C136 610 70 450 70 271V270C70 89 136 -72 282 -170L300 -147Z" id="g113-41"></path></g><g transform="matrix(.013,0,0,-0.013,4.498,0)"><path d="M699 368C699 549 574 666 407 666C186 666 23 488 23 277C23 113 129 -3 288 -13L307 -26C431 -111 501 -139 533 -147C559 -154 613 -163 658 -164L666 -141C597 -111 507 -66 430 -11L416 -1C580 42 699 190 699 368ZM601 371C601 227 518 54 381 22L354 40L278 24C175 47 120 145 120 269C120 451 235 631 398 631C540 631 601 521 601 371Z" id="g113-82"></path></g><g transform="matrix(.0091,0,0,-0.0091,13.819,3.132)"><path d="M396 114C349 71 317 59 274 59C216 59 123 104 123 241C123 342 180 400 246 400C283 400 317 386 348 359C355 352 361 348 366 348C378 348 401 371 402 394C402 405 398 413 385 424C369 437 337 451 294 451H293C254 451 193 434 141 394C73 342 39 277 39 198C39 90 114 -12 243 -12C303 -12 371 31 415 90L396 114Z" id="g58-97"></path></g><g transform="matrix(.0091,0,0,-0.0091,17.75,3.132)"><path d="M396 114C349 71 317 59 274 59C216 59 123 104 123 241C123 342 180 400 246 400C283 400 317 386 348 359C355 352 361 348 366 348C378 348 401 371 402 394C402 405 398 413 385 424C369 437 337 451 294 451H293C254 451 193 434 141 394C73 342 39 277 39 198C39 90 114 -12 243 -12C303 -12 371 31 415 90L396 114Z" id="g58-97"></path></g><g transform="matrix(.013,0,0,-0.013,22.209,0)"><path d="M300 -147C201 -63 143 98 143 270S200 602 300 686L282 710C136 610 70 450 70 271V270C70 89 136 -72 282 -170L300 -147Z" id="g113-41"></path></g><g transform="matrix(.013,0,0,-0.013,26.707,0)"><path d="M766 88L752 113C719 83 690 64 681 64C674 64 672 74 679 103L724 292C758 436 724 448 701 448C680 448 666 442 639 429C594 407 514 350 441 252H439L447 289C476 423 450 448 419 448C398 448 379 441 355 427C307 400 234 344 162 249H160L180 324C203 409 197 448 170 448C144 448 82 413 23 349L35 321C57 343 96 374 108 374C115 374 117 371 111 341C87 227 57 112 24 -6L32 -12C53 -4 81 4 108 6C119 68 134 128 149 171C177 229 309 383 364 383C387 383 388 355 373 282C354 190 330 92 303 -6L309 -12C332 -4 356 3 386 6C396 63 411 122 424 171C458 236 590 383 642 383C658 383 664 369 652 315L603 91C587 20 593 -12 619 -12C642 -12 708 23 766 88Z" id="g113-110"></path></g><g transform="matrix(.013,0,0,-0.013,36.964,0)"><path d="M275 270C275 450 212 609 64 710L45 686C145 604 203 442 203 270S147 -63 45 -147L64 -170C213 -68 275 89 275 270Z" id="g113-42"></path></g><g transform="matrix(.013,0,0,-0.013,41.462,0)"><path d="M275 270C275 450 212 609 64 710L45 686C145 604 203 442 203 270S147 -63 45 -147L64 -170C213 -68 275 89 275 270Z" id="g113-42"></path></g></svg>.</span></div>

Complexity

fig2

Figure 2

Figure 2: The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns 