Results of the Pearson correlation and Granger causality tests.

Companies are ordered as in Table 1. The arrows indicate a statistically significant Granger causality relation for a company, at the 5% significance level. A right arrow indicates that the Twitter variable (sentiment polarity Pd or volume TWd) Granger-causes the market variable (return Rd), while a left arrow indicates that the market variable Granger-causes the Twitter variable. The counts at the bottom show the total number of companies passing the Granger test.