Edit: removed some points b/c charlief made them more succinctly.
An even better question: is the relationship causal? The researchers use Granger causality analysis to test their hypothesis. Wikipedia tells me this analysis "may produce misleading results when the true relationship involves three or more variables." [2] By definition, Twitter and the DJIA are macro aggregates of a number of factors. How could the researchers apply Granger here?
An even better question: is the relationship causal? The researchers use Granger causality analysis to test their hypothesis. Wikipedia tells me this analysis "may produce misleading results when the true relationship involves three or more variables." [2] By definition, Twitter and the DJIA are macro aggregates of a number of factors. How could the researchers apply Granger here?
[1] See Table 1 at http://www.sca.isr.umich.edu/documents.php?c=c
[2] http://en.wikipedia.org/wiki/Granger_causality#Limitations