学術論文「Trump’s tweets: Sentiment, stock market volatility, and jumps」が「The Journal of Financial Research」に掲載されました。

2021/9/21

“Trump’s tweets: Sentiment, Stock Market Volatility and Jumps” The Journal of Financial Research, Volume44, Issue3 Fall 2021, Pages 497-512.

Abstract

This study investigates the second-moment response to tweets from US president Donald J. Trump in the US stock market. We report that Trump’s tweeting activity significantly and positively affects the volatility and jumps in our sample’s later period. The response of realized volatility to tweets is greater than that of continuous volatility due to the realized volatility’s jump component. These results suggest that Trump’s tweets tend to cause jumps. In summary, Trump’s tweeting activity impacts financial markets by increasing the market’s jump tail risk, which cannot be hedged by investors without paying extra risk premiums, and therefore it requires careful consideration in investments.