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Trump’s Effect on stock markets: A multiscale approach

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  • de Area Leão Pereira, Eder Johnson
  • da Silva, Marcus Fernandes
  • da Cunha Lima, I.C.
  • Pereira, H.B.B.

Abstract

In this paper we demonstrate the “Trump Effect” based on the cross-correlations between the occurrence of the term “Donald Trump” in Google Trends and the volatilities and returns of indices corresponding to several stock exchanges around the world. For that, we associate the ρDCCA coefficient with its significance test. We observe that the occurrence of the term “Donald Trump” has an effect of moderate and weak intensities with positive and significant correlation on the volatilities of the Mexican, Japanese, Australian and Brazilian stock exchanges. Regarding returns, the occurrence of the term “Donald Trump” has a positive effect of weak and moderate intensities with positive and significant correlation on the North American stock exchange and a negative and significant effect of weak intensity on the Mexican stock exchanges. The results show that news related to the current North American president are correlated with fluctuations in the financial markets.

Suggested Citation

  • de Area Leão Pereira, Eder Johnson & da Silva, Marcus Fernandes & da Cunha Lima, I.C. & Pereira, H.B.B., 2018. "Trump’s Effect on stock markets: A multiscale approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 241-247.
    • Handle: RePEc:eee:phsmap:v:512:y:2018:i:c:p:241-247
    DOI: 10.1016/j.physa.2018.08.069
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    References listed on IDEAS

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    2. Wagner, Alexander F. & Zeckhauser, Richard & Ziegler, Alexandre, 2017. "Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade," CEPR Discussion Papers 11837, C.E.P.R. Discussion Papers.
    3. Hussain, Muntazir & Zebende, Gilney Figueira & Bashir, Usman & Donghong, Ding, 2017. "Oil price and exchange rate co-movements in Asian countries: Detrended cross-correlation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 338-346.
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    Cited by:

    1. Junqing Tang & Hans R. Heinimann, 2019. "Quantitative evaluation of consecutive resilience cycles in stock market performance: A systems-oriented approach," Papers 1903.03201, arXiv.org.

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