Trump's tweets: Sentiment, stock market volatility, and jumps
研究了特朗普推文对美国股市波动性和跳跃的影响，发现推文显著增加了波动性和跳跃风险，且对已实现波动性的影响大于连续波动性，提示投资者需关注此类非对冲风险。
Abstract We investigate the second‐moment response to tweets from US President Donald J. Trump in the US stock market. We find that Trump's tweeting positively and significantly affects the volatility and jumps during our sample's later period. The response of realized volatility to tweets is greater than that of continuous volatility because of the jump component in realized volatility. These results suggest that Trump's tweeting affects financial markets by sincreasing the market's jump tail risk, which cannot be hedged by investors without paying extra risk premiums, and therefore it requires careful consideration in investments.