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 H.B.B. Pereira
Authors registered in the RePEc Author Service: Eder Johnson de Area Leao Pereira

Physica A: Statistical Mechanics and its Applications, 2018, vol. 512, issue C, 241-247

Abstract: 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)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437118310100
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:512:y:2018:i:c:p:241-247

DOI: 10.1016/j.physa.2018.08.069

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().