Abstract
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.
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