An analysis of the impact of President Trump’s tweets on the DJIA and S&P 500 using machine learning and sentiment analysis

Johnson D. Kinyua, Charles Mutigwe, Daniel J. Cushing and Michael Poggi

Journal of Behavioral and Experimental Finance, 2021, vol. 29, issue C

Abstract: We analyze the immediate impact of President Trump’s tweets on two US stock market indices using a 30-minute event window for each tweet and intra-day market data. The tweets and intra-day market data, are used to study market reactions using sentiment analysis, and machine learning (ML) classification and regression. The results show a significant negative reaction when President Trump tweeted during open market hours. We also found that tweets with a strong positive or strong negative sentiment had positive market reactions. ML regressors use the tweets and market data to predict the post-tweet market index averages and post-tweet market trends.

Date: 2021
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303762

DOI: 10.1016/j.jbef.2020.100447

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