A new kind of digital signature scheme, correlative message group (CMG) signature, which concerning a group of correlative messages, is proposed in this paper. Each message m i in the correlative message group {m 1 , m 2 , . . . , mn} can only be delivered to the dedicated recipient U i . The recipient U j will not know m i (j = i; 1 ≤ i, j ≤ n), but each U j (j = 1, 2, . . . , n) should be able to verify the CMG signature. The procedure of generating and verifying the CMG signature is described, and the security and performance of which are analyzed. A sample application of CMG signature to e-commerce is presented in this paper also.