Market impact of government communication: The case of presidential tweets

Farshid Abdi, Emily Kormanyos, Loriana Pelizzon (), Mila Getmansky and Zorka Simon

No 314, SAFE Working Paper Series from Leibniz Institute for Financial Research SAFE

Abstract: We propose the "President reacts to news" channel of stock returns by studying the financial market impact of the Twitter account of the 45th president of the United States, Donald Trump. We use machine learning algorithms to classify topic and textual sentiment of 1,400 economy-related tweets to investigate whether they contain relevant information for financial markets. Analyzing high-frequency data, we find that after controlling for past market movements, most tweets are reactive and predictable, rather than novel and informative. The exceptions are tweet topics where the president has direct policy authority and his negative sentiment could adversely a↵ect economic outcomes.

Keywords: Government communication; Social media; Twitter; Machine learning; ETFs (search for similar items in EconPapers)
JEL-codes: C58 G10 G14 (search for similar items in EconPapers)
Date: 2021, Revised 2021
New Economics Papers: this item is included in nep-big, nep-cwa, nep-fmk, nep-ict and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:safewp:314

DOI: 10.2139/ssrn.3840203

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