The Information Content of Trump Tweets and the Currency Market

A Modern Take on Market Efficiency: The Impact of Trump’s Tweets on Financial Markets

“…The closest to our study in the growing literature on the financial market impact of Donald Trump's social media activity are those of Bianchi et al (2019) and Filippou et al (2020). Bianchi et al (2019) document that Donald Trump influences FOMC meeting outcomes through influencing investors' expectations by his pre-FOMC meeting tweets.…”

“…To ensure that we are only measuring the direct financial market impact of government social media communication, we exclude FOMC meeting/press conference days from our sample. Filippou et al (2020) study the e↵ect of Trump's tweets on the foreign exchange market, and find that the tweets reduce speculative trading. Our focus is on the equity market, where the presence of retail investors and social media followers is likely more prominent than in foreign exchange markets.…”

“…Our focus is on the equity market, where the presence of retail investors and social media followers is likely more prominent than in foreign exchange markets. While they consider similar (although less) tweet topics than our analysis, our approach is distinctly di↵erent in two aspects, namely (i) that we specifically study the asymmetric market reaction to both positive and negative tweets within and across topics, and (ii) that our minute-level analysis allows for more precise measurement of the tweet-e↵ect, as opposed to the hourly frequency used in Filippou et al (2020). Overall, the key di↵erence between this study and others in the literature is that we examine the period preceding the tweets, and show that past market information helps predicting Trump's decision to tweet about the economy, thereby outweighing the average tweet's information content.…”

“…While some papers focus on investment professionals (Antweiler and Frank, 2004;Bar-Haim et al, 2011) or retail investor message boards (Das and Chen, 2007;Chen et al, 2011), there is an increasing number of studies highlighting the e↵ect of Twitter in revealing investable information (Ranco et al, 2015;Ali, 2018). Our study is closest to those that analyze how Donald Trump's tweets a↵ect the stock prices of individual companies (Born et al, 2017, among others) or di↵erent facets of financial markets (Bianchi et al, 2019;Klaus and Koser, 2021;Colonescu, 2018;Filippou et al, 2020). Our paper is complimentary to this strand of literature in that we consider (i) a large number of tweets about the general economy instead of tweets about individual companies, (ii) we provide results for a wide range of tweets across several sub-topics and textual sentiment instead of focusing on a selected number of tweets about a single topic (i.e.…”

“…Our paper is complimentary to this strand of literature in that we consider (i) a large number of tweets about the general economy instead of tweets about individual companies, (ii) we provide results for a wide range of tweets across several sub-topics and textual sentiment instead of focusing on a selected number of tweets about a single topic (i.e. mentioning or criticizing monetary policy conduct of the Federal Reserve or tari↵s and trade, as in Bianchi et al, 2019or Filippou et al, 2020; and (iii) we capture market-wide return, volatility and volume e↵ects relevant for a wide range of investors.…”