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*** |