When subjected to shear, granular suspensions exhibit normal stresses perpendicular to the shear plane but the magnitude and sign of the different components of the normal stresses are still under debate. By performing both oscillatory and rotational rheology measurements on shear thickening granular suspensions and systematically varying the particle diameters and the gap sizes between two parallel-plates, we show that a transition from a positive to a negative normal stress can be observed. We find that frictional interactions which determine the shear thickening behavior of suspensions contribute to the positive normal stresses. Increasing the particle diameters or decreasing the gap sizes leads to a growing importance of hydrodynamic interactions, which results in negative normal stresses. We determine a relaxation time for the system, set by both the pore and the gap sizes, that governs the fluid flow through the inter-particle space. Finally, using a two-fluid model we determine the relative contributions from the particle phase and the liquid phase.