The “Donald” and the market: Is there a cointegration?
Alessandra Ortolano and
Research in International Business and Finance, 2018, vol. 45, issue C, 30-37
This paper analyses the relationship between post-election main sentiment on Donald Trump and financial markets. The sample period, spans from 8 November (the election Day) and 28 February. Our study intends to verify if there exist a co-implication between Trump’s Favorable (TF), namely the percentage of favorable opinions on Trump, and some financial variables (i.e. stock and Treasury returns, currency and commodities). The results of cointegration analysis show that Trump’s Favorable has explanatory power for stock market returns, 10 long term Treasury bond and decrease of gold. Furthermore, we found no evidence of the opposite relation.
Keywords: Trump’s FavorableTrump’s favorable; Financial cointegration; Poll sentiment; Markets (search for similar items in EconPapers)
JEL-codes: G10 G14 G11 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:45:y:2018:i:c:p:30-37
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