Figure 6 : Granger causality tests.

From: Cohesiveness in Financial News and its Relation to Market Volatility

Figure 6

Results of Granger causality tests for the mutual impacts between information and financial indicators. Colours indicate the direction of G-causality (XY or YX) and bidirectional G-causality () at two levels of significance (F-test p-value < 0.01 and p-value <0.05).