Published: Tue, September 10, 2019
Markets | By Otis Pena

JP Morgan Creates "Volfefe Index" to Measure Market impact of Trump Tweets

JP Morgan Creates

The JPMorgan report observed that Trump has maintained "a remarkably consistent daily presence" on Twitter since taking office, averaging more than 10 tweets a day.

"While tweets can and will arrive at any hour of the day, noon to 2 p.m".

Strategists at the lender produced the "Volfefe" index by measuring which Trump tweets activated huge actions in Treasury yields, a single of the world's most intently followed marketplaces and a single that influences rates for stocks and practically every single other investment decision.

Another interesting thing to note from the report is most of the tweets by Trump come in the afternoon between 12:00 pm to 2:00 pm with 1:00 pm tweet three times more likely.

"Activity persists well into late evening, with 3am tweets more common than 3pm - a nuisance for rates markets, as market depth tends to be quite thin during the overnight session."

"Market-moving tweets exhibit distinct statistical properties, primarily addressing trade and, more recently, monetary policy".

"Such a high volume of policy developments made available instantaneously to financial participants en masse thus provides an unprecedented look into how markets could react to the inner workings of the executive branch", the company's report stated. "And we find strong evidence that tweets have increasingly moved United States rates markets immediately after publication".

JPMorgan

The markets experienced deep dives in summer as Trump intensified its tariff war with China, yet the Dow is up 42% since the 2016 presidential election.

It showed both share indices dropping sharply when he tweeted on December 5: "We are either going to have a REAL DEAL with China, or no deal at all".

But the bond market has been knocked further off course.

The index could also be applied to currency and equity markets, JPMorgan said. The number of his posts that affect the markets in recent months has increased significantly. The bank said: "Market moving tweets' have ballooned in frequency this August". Tracy Alloway reports on "Bloomberg Daybreak: Middle East".

Two of the largest Wall Street banks are trying to measure the market impact of Donald Trump's tweets.

Some of the tweets involve attacking China in the U.S. trade war or Federal Reserve on the interest rates.

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.

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