'Volfefe': a volatility index for the Trump era

How much do Trump tweets swing the market? Check

US President Donald Trump is not just tweeting haphazardly for your entertainment, his tweets are increasingly moving US markets and impacting interest rates, a JPMorgan report has revealed. Dubbed the "Volfefe Index", a tongue-in-cheek reference to Mr. Trump's since-deleted "covfefe" tweet from 2017, the gauge indicates that the president's tweets have a statistically significant effect on Treasury yields.

"The subject of these tweets has increasingly turned toward market-moving topics, most prominently trade and monetary policy", the analysts said. They also claimed that a number of assets, single-name stocks to macro products, have seen a change in their price dynamics on the basis of Trump's tweets.

Trump's most market-moving tweets dwell on trade, and, to a lesser extent, monetary policy, with the words "China", "billion", "products", "dollars", "tariffs" and "trade" making the top list, the JP Morgan analysis found.

The bank also highlighted Trump's tweeting volume with 10 tweets per day since the start of 2016, including 10,000 post-auguration in 2017, with the figure peaking in recent months.

Trump's tweets move markets, particularly regarding the trade war, which whipsaws indices back and forth with seemingly every word uttered, positive and negative. The index tracks more than 12,000 of Trump's tweets since he took office.

The analysts add that they have found "strong evidence that tweets have increasingly moved USA rates markets immediately after publication".

LAX Flights Cancelled Today Due To Hurricane Dorian, Disneyland Closed Down
Major Florida airports in Orlando, Daytona Beach, Pompano Beach, Fernandina Beach and Jacksonville were closed due to the storm. Other reports involved a group of eight children and five adults stranded on a highway and two storm shelters that flooded.

While the index's "utility in scoring any given tweet is somewhat limited", the bank said, it added that it works "as a supervised machine learning exercise - specifically we can train a classifier to infer how likely each tweet is to move markets".

While JP Morgan's research was limited to the United States bond market, the bank said it is "easily transferable" to stock and currency markets.

Just last month, for instance, Trump sent markets plummeting after he announced on Twitter that the USA would levy tariffs on almost all Chinese imports.

The stock market has done well overall since Trump was elected.

Trump blamed the Fed chief for the inverted yield curve on August 14 and questioning whether Powell was a "bigger enemy" than Chinese leader Xi Jinping on August 23. The S&P 500 also stays properly over in which it was in advance of Trump's 2016 election, up nearly 40 per cent.

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