| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5102610 | Physica A: Statistical Mechanics and its Applications | 2017 | 18 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Yongjie Zhang, Zuochao Zhang, Lanbiao Liu, Dehua Shen,