Optimal lag order and null hypothesis

High frequency signal

Low frequency signal

Residual

Optimal lag order

6

6

1

Sentiment index does not granger cause Shanghai Stock Index

0.0000^***

0.0000^***

0.0000^***

Shanghai Stock Index does not granger cause sentiment index

0.0000^***

0.0000^***

0.0000^***

Sentiment index dose not granger cause macro index

0.0983^*

0.0009^***

0.0000^***

Macro index does not granger cause sentiment index

0.3401

0.3281

0.0000^***

Shanghai Stock Index does not granger cause macro index

0.4943

0.0039^***

0.0000^***

Macro index does not granger cause Shanghai Stock Index

0.2064

0.2086

0.0000^***