Trump’s Effect on stock markets: A multiscale approach
Eder Johnson de Area Leão Pereira,
Marcus Fernandes da Silva,
I.C. da Cunha Lima and
Physica A: Statistical Mechanics and its Applications, 2018, vol. 512, issue C, 241-247
In this paper we demonstrate the “Trump Effect” based on the cross-correlations between the occurrence of the term “Donald Trump” in Google Trends and the volatilities and returns of indices corresponding to several stock exchanges around the world. For that, we associate the ρDCCA coefficient with its significance test. We observe that the occurrence of the term “Donald Trump” has an effect of moderate and weak intensities with positive and significant correlation on the volatilities of the Mexican, Japanese, Australian and Brazilian stock exchanges. Regarding returns, the occurrence of the term “Donald Trump” has a positive effect of weak and moderate intensities with positive and significant correlation on the North American stock exchange and a negative and significant effect of weak intensity on the Mexican stock exchanges. The results show that news related to the current North American president are correlated with fluctuations in the financial markets.
Keywords: Econophysics; Financial markets; Volatilities and returns; Trump’s Effect; Detrended cross-correlation coefficient (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:512:y:2018:i:c:p:241-247
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