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The interaction of financial news between mass media and new media: Evidence from news on Chinese stock market

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  • Zhang, Yongjie
  • Zhang, Zuochao
  • Liu, Lanbiao
  • Shen, Dehua

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.

Suggested Citation

  • Zhang, Yongjie & Zhang, Zuochao & Liu, Lanbiao & Shen, Dehua, 2017. "The interaction of financial news between mass media and new media: Evidence from news on Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 535-541.
    • Handle: RePEc:eee:phsmap:v:486:y:2017:i:c:p:535-541
    DOI: 10.1016/j.physa.2017.05.051
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