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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.

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