Research Article
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.
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denotes significance at 1% level. |