Donald Trump's tweets swing the market - the 'Volfefe' index proves it

JPMorgan Launches 'Volfefe Index' to Track how Donald Trump's Tweets Impact Markets

President Donald Trump has made it clear to 64 million Twitter followers that he believes the USA stock market would be in far better shape if only the Federal Reserve would do his bidding and further lower interest rates.

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.

Trump files a lengthy report detailing his holdings with the Office of Government Ethics each year, but figures on the value of his assets, revenue taken in and how much he has borrowed are given in broad ranges.

They defined "market-moving" as tweets that were "immediately followed by a substantial move" in U.S. bond yields.

About 10% of the president's tweets since his November 2016 election pertain to subjects of importance to U.S. markets, according to Citigroup quantitative foreign-exchange strategist Sukrita Chatterji.

Trump's tweets usually strike the sector around lunchtime on the East Coastline and can lead to a ton of indigestion.

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The Volfefe index can explain some of the movement in market forecasts of where rates are headed, particularly the shorter duration two-year and five-year rates, the analysts said. "We can use this dataset to performed a supervised machine learning exercise - specifically we can train a classifier to infer how likely each tweet is to move markets", the JPMorgan report said in a note dated September 6.

Mr. Trump says he had nothing to do with either incident, though the president did pitch Trump Doral in Miami as the site of next year's Group of 7 (G7) meetings.

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.

Those tweets that do move the markets often focus on trade and the Federal Reserve and include the words "China", "billion" and "great".

Of about 4,000 original Trump tweets, not counting retweets, that were sent during market hours last year and this year, 146 moved the market, according to the model. Days with fewer presidential tweets tend to see positive returns of 5 basis points on average.

Since 2016, on days with more than 35 Trump tweets, the United States market has fallen slightly.

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