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Analysis of Trump´s tweets relationships with vix and s&p 500
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Trump’s tweets effects in financial markets are frequently discussed, this thesis objective is to analyze these relationship. The data consisted on Trump tweets regarding a S&P500 company and VIX and S&P500 daily data. For the robustness check it was included tweets with specific words and a vector of economic exogenous variables. The models applied were the VAR and the VARX. The S&P500 tweets do not present significant coefficients orgranger cause toS&P500 or VIX. The robustness check shows that total tweets helps to predict the S&P500.The results indicate that the S&P500tweets do not affect the financial markets.
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Asset pricing Politics Social media Big data Volatility