One of the six principles of scientific thinking is that correlation is not the same as causation. This means that while the likeliness of one thing happening at the same time as the other varies, it does not mean that one causes the other. The cause-effect relationship could go in either direction, or there could be a third variable that causes both. It is also possible that the two variables are not actually related in the slightest.
An example of this can be seen in a research study done at the University of Pittsburgh. The study was to see how reading or listening to music is related to the likeliness of depression in teens. About half the test subjects in this study had been previously diagnosed with Major Depressive Disorder. As part of the study the researchers would call the subjects weekly to see what types of leisurely media there were using: reading, listening to their iPods, watching TV, etc. They would also ask the subjects questions about their moods. The researchers would then record this information and make analyses based on the usual symptoms of depression.
The results of the experiment showed that people who listened to music more often had more symptoms of depression, or, for those already diagnosed, their depression worsened. This is a positive correlation. On the other hand, people who did other activities, such as read more books, seemed to show fewer symptoms of depression, or their depression improved. This shows a negative correlation.
However, researchers also mentioned that they cannot be sure whether listening to music causes depression, or depression causes teens to listen to music, or if there is a confounding factor which links to both. Similarly, we cannot tell if reading books can treat or prevent depression in teens.
Similar studies have also shown links between depression and playing video games or watching TV. Again, the researchers mentioned that this is only a correlation that is being tested. There is not enough information to infer a cause from this correlation study.
For more information, here is the link to the article: http://healthland.time.com/2011/04/12/study-are-music-loving-teens-more-likely-to-be-depressed/