The dynamic cross-correlations between foreign news, local news and stock returns

Plenty of literature has proven the existence of local media bias in stock market from the perspective of trading volume. Given to the cross-listings of AH stocks in China, we explore the dynamics relationship between stock prices and media coverage by means of MF-DCCA. We mainly find that H-share prices seem to move more consistently with foreign media coverage in contrast to mainland media coverage, while A-share prices react to different media coverage at the similar intensity. These findings are robust to alternative measurements of returns. Generally speaking, our findings support the existence of local bias in media choosing.