Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 486, Issue -, Pages 535-541Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2017.05.051
Keywords
Econophysics; Correlation analysis; Mass media; New media; Financial news; Stock market
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Funding
- National Natural Science Foundation of China [71320107003, 71532009]
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In this paper, we investigate both the contemporaneous and the lead-lag relationships between the mass media news and the new media news of the financial news on the constitute stocks of the CSI 300. The empirical results show that: (1) there exists a strong correlation between these two types of news; (2) the granger causality direction from new media news to mass media news is increasingly obvious, while the reverse direction has a downward trend; (3) new media is playing a increasingly important role in the stock market and exhibits a trend to substitutes the mass media. (C) 2017 Elsevier B.V. All rights reserved.
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