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

Table 1

Results of the MF-DCCA scaling exponent. This table reports the MF-DCCA scaling exponent between the amount of mass media news, the amount of new media news, the amount of total news, and the return of SSE 50. The symbol “MM-NM” denotes the scaling exponent between mass media news amount and new media news amount. The symbol “MM-Return” denotes the scaling exponent between mass media news amount and the return of SSE 50. The symbol “NM-Return” denotes the scaling exponent between new media news amount and the return of SSE 50. The symbol “TM-Return” denotes the scaling exponent between the total news amount and the return of SSE 50. The symbol “” denotes the difference between TM-Return and the sum of MM-Return and NM-return.

	MM-NM	MM-Return	NM-Return	TM-Return
	1.193412	0.904737	0.723414	0.931241	0.696911
	(97.68)	(138.06)	(199.00)	(87.06)
	1.182705	0.886182	0.71819	0.913263	0.69111
	(98.02)	(145.94)	(209.38)	(87.54)
	1.169745	0.861594	0.71567	0.889892	0.687372
	(99.44)	(158.73)	(219.38)	(88.13)
	1.153924	0.83167	0.723031	0.861964	0.692737
	(104.83)	(176.77)	(217.07)	(89.19)
	1.126114	0.802806	0.768141	0.837509	0.7334348
	(127.66)	(194.62)	(186.21)	(95.46)
	1.060741	0.78207	0.889481	0.837438	0.834112
	(247.81)	(218.59)	(166.68)	(143.10)
	1.005653	0.766329	0.874682	0.837032	0.80398
	(81.42)	(196.69)	(193.44)	(189.78)
	0.915444	0.74425	0.810478	0.797665	0.757063
	(51.71)	(124.14)	(130.09)	(120.17)
	0.855658	0.718995	0.762753	0.757806	0.723942
	(44.70)	(96.71)	(105.60)	(96.85)
	0.8204	0.698176	0.731458	0.729416	0.700219
	(41.72)	(86.17)	(94.53)	(86.77)
	0.797806	0.682709	0.710457	0.709795	0.68337
	(40.08)	(81.03)	(88.40)	(81.31)
	0.395606	0.222028	0.179024	0.221446	—

denotes significance at 1% level.