Measuring Trump: The Volfefe Index and its impact on European financial markets

Jürgen Klaus and Christoph Koser

Finance Research Letters, 2021, vol. 38, issue C

Abstract: In this study, we examine the predictive power of the recently constructed Volfefe Index, the quantification of the tweeting activity of U.S. president Donald J. Trump, on the dynamics of European stock markets. After controlling for a set of macroeconomic and financial factors, we show that the Trump Tweet factor contributes to the prediction of European stock market returns. The results obtained from a rolling-window regression model indicate that the relationship between the Volfefe Index and European stock market returns is heterogeneous and time-varying. These dynamics coincide surprisingly well with a series of presidential tweets, identifying the directional effect of the Trump Twitter factor.

Keywords: European Financial Markets; Twitter; Sentiment; Donald Trump; Volfefe Index (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 G40 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319313674

DOI: 10.1016/j.frl.2020.101447

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