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Does connection with @realDonaldTrump affect stock prices?

Rui Fan, Oleksandr Talavera () and Vu Tran

No 2018-07, Working Papers from Swansea University, School of Management

Abstract: This study investigates whether investors react to signals of an association between a firm and Donald Trump indicated by tweets containing both words 'Trump' (or '@realDonaldTrump') and a S&P500 firm name. Our results reveal that a large number of such tweets ignite speculations about a political connection between a firm and the US's President, thus affecting investors' trading behaviors. In particular, a rise in these tweets induces significant increases in trading volatility and trading volume. However, we do not find such great impacts on stock returns, suggesting that the speculations are more likely to spread among small non-institutional investors. Further investigations show that sentiments embedded in these tweets have limited influence. There is evidence of a changing market behavior towards such tweets centered by the President's inauguration.

Keywords: Twitter; US Election; stock market; investor sentiment; text classification; computational linguistics. (search for similar items in EconPapers)
JEL-codes: D72 G12 G14 L86 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2018-02-19
New Economics Papers: this item is included in nep-cmp and nep-pol
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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https://rahwebdav.swan.ac.uk/repec/pdf/WP2018-07.pdf First version, 2018 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:swn:wpaper:2018-07

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