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

<div>Log-log plots of <svg height="14.8173pt" id="M122" style="vertical-align:-5.52897pt" version="1.1" viewbox="-0.0498162 -9.28833 35.7001 14.8173" width="35.7001pt" 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="M584 650H137L131 622C214 614 217 612 200 521L125 127C109 41 101 35 23 28L17 0H288L294 28C201 35 193 42 209 128L242 309H348C440 309 442 300 443 226H471L510 422H482C452 354 449 348 357 348H251L295 575C302 609 304 615 338 615H426C502 615 517 604 526 581C534 560 536 524 537 492L565 494C574 554 583 631 584 650Z" id="g113-71"></path></g><g transform="matrix(.0091,0,0,-0.0091,6.786,3.132)"><path d="M545 403C545 425 527 451 498 451C448 451 400 404 312 286L290 341C262 412 246 451 219 451C182 451 138 404 92 345L112 323C152 368 169 378 181 378C192 378 201 359 216 321L257 214C184 115 142 69 113 69C102 69 93 73 88 79S78 89 68 89C47 89 24 61 24 40C24 8 49 -12 75 -12C125 -12 175 31 271 175L312 64C330 15 357 -12 382 -12C421 -12 475 35 515 98L496 121C466 88 439 62 420 62C402 62 384 92 363 147L325 247C349 280 374 309 397 333C422 361 446 381 462 381C471 381 481 374 488 366C493 360 499 357 505 357C521 357 545 380 545 403Z" id="g50-121"></path></g><g transform="matrix(.0091,0,0,-0.0091,11.297,3.132)"><path d="M563 395C563 428 543 451 519 451C500 451 480 438 472 423C468 415 465 403 470 394C477 381 482 368 482 347C482 272 386 136 342 74H340C334 163 323 257 312 337C302 410 290 451 257 451C214 451 160 385 127 338L145 310C169 341 203 373 209 373C219 373 225 369 232 325C249 215 269 62 271 -15C220 -80 135 -165 18 -231L26 -257L142 -230C254 -105 279 -74 342 13C394 85 484 211 526 286C553 334 563 365 563 395Z" id="g50-122"></path></g><g transform="matrix(.0091,0,0,-0.0091,16.558,3.132)"><path d="M481 430L460 436C440 442 393 451 366 451C348 451 325 448 313 446C267 437 195 409 147 367C79 308 24 211 24 105C24 37 56 -12 93 -12C121 -12 156 1 199 32C246 66 313 122 349 168H351L286 -147C274 -205 261 -215 210 -224L199 -226L193 -255L438 -243L442 -214L417 -212C364 -208 359 -200 370 -140L433 204C455 324 469 389 481 430ZM391 385C382 336 366 260 358 238C321 178 209 59 143 59C129 59 115 83 115 131C115 207 152 317 220 373C243 392 282 403 314 403C348 403 374 395 391 385Z" id="g50-114"></path></g><g transform="matrix(.013,0,0,-0.013,21.652,0)"><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,-0.013,26.15,0)"><path d="M352 391C352 416 319 448 267 448C236 448 173 423 147 400C107 364 96 332 96 304C96 248 143 210 193 181C241 153 258 124 258 100C258 72 232 38 184 38C151 38 107 66 81 108C77 114 64 116 55 111C34 99 23 84 23 65C23 29 81 -12 134 -12C220 -12 325 61 325 141C325 184 297 215 234 256C194 282 161 309 161 346C161 380 188 401 217 401C255 401 279 380 301 353C308 344 313 341 325 347C341 355 352 371 352 391Z" id="g113-116"></path></g><g transform="matrix(.013,0,0,-0.013,31.025,0)"><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> versus <svg height="6.1673pt" id="M123" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -5.96091 4.9929 6.1673" width="4.9929pt" 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="M352 391C352 416 319 448 267 448C236 448 173 423 147 400C107 364 96 332 96 304C96 248 143 210 193 181C241 153 258 124 258 100C258 72 232 38 184 38C151 38 107 66 81 108C77 114 64 116 55 111C34 99 23 84 23 65C23 29 81 -12 134 -12C220 -12 325 61 325 141C325 184 297 215 234 256C194 282 161 309 161 346C161 380 188 401 217 401C255 401 279 380 301 353C308 344 313 341 325 347C341 355 352 371 352 391Z" id="g113-116"></path></g></svg> for amount of MM news and the return of SSE 50.</div>

Complexity

fig4

Figure 4

Figure 4: The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns 