Before revision:  In this paper, we propose a novel measure for aggregate market risk based on news network and news tones, namely media connection index (MCI) . We show that the change of MCI predicts a negative return with a higher in-sample and out-of-sample performance than average correlation index in Pollet and Wilson (2010).
After revision:  In this paper, we propose a novel measure for aggregate market risk based on news network and news tones, namely media connection index (MCI) , using news tones of media news that mentions more than one stocks to proxy effects that induced by additional attention, i.e. sentiment spillover, sentiment co-movement and connected news coverage. In general, we show our predictors are powerful and outperform other predictors, such as sentiment indices and economic predictors, in terms of both in-sample and out-of-sample performance than average correlation index in Pollet and Wilson (2010).