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

Table 2

Short term and long term scaling exponents between news and return series. This table reports the short term and long term scaling exponents for the series between the mass media news and return of SSE 50, new media news amount and return of SSE 50, and total news amount and return of SSE 50. The signal “MM-Return” denotes the scaling exponent of mass media news amount and return of SSE 50, “NM-Return” is the scaling exponent of new media news amount and return of SSE 50, and “TM-Return” denotes the scaling exponent of total news number and return of SSE 50. is the multifractality degree. “Short” denotes the term ; “long” is the term .

	MM-Return		NM-Return		TM-Return
	Short	Long	Short	Long	Short	Long
	0.878	1.261	0.726	0.905	0.841	2.172
	0.859	1.234	0.719	0.905	0.826	2.114
	0.833	1.200	0.715	0.896	0.805	2.030
	0.801	1.152	0.720	0.864	0.782	1.909
	0.774	1.072	0.755	0.929	0.766	1.700
	0.769	0.923	0.857	1.747	0.796	1.276
	0.794	0.691	0.889	1.111	0.869	0.797
	0.815	0.495	0.848	0.599	0.875	0.559
	0.811	0.397	0.807	0.355	0.850	0.455
	0.799	0.353	0.777	0.215	0.826	0.403
	0.786	0.332	0.757	0.123	0.808	0.373
	0.110	0.929	0.175	1.624	0.114	1.799