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An econometric analysis of the S&P 500 with the sentiments of former President Trump's tweets
Sesan, Adeniji Daggubati, Sujay
Sesan, Adeniji
Daggubati, Sujay
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Sesan_2024.pdf
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2024-04-26
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Sesan, A. & Daggubati, S. 2024. An econometric analysis of the S&P 500 with the sentiments of former President Trump's tweets. -- In Proceedings: 20th Annual Symposium on Graduate Research and Scholarly Projects. Wichita, KS: Wichita State University
Abstract
In today's digital era, social media extends beyond simple communication, significantly influencing public opinion and societal trends, especially in the political realm. Platforms such as Twitter, now known as X, enable politicians to engage directly with a global audience, resulting in significant consequences. This shift is especially impactful in the financial sector, where information disseminated through social media can rapidly influence market trends and shift public perceptions, underscoring its critical role in contemporary societal dynamics. Our research investigates the impact of former President Donald Trump's tweets on financial markets. We employ machine learning techniques for topic modeling and sentiment analysis to examine the tone and thematic content of the tweets. Additionally, we utilize econometric models, including Vector Autoregression (VAR), Granger Causality Test, Impulse Response Function (IRF), and Variance Decomposition, to evaluate the response of S&P 500 returns to various topics and sentiments expressed in the tweets. These methods allowed for a comprehensive assessment of both the temporal correlation and the causal links between the Tweets and market responses. The findings show a notable link between the sentiments, the content of the Tweets, and S&P 500 movements. The market responds to both the factual content and the sentiment conveyed in the tweets, with certain topics having positive effects and others negative, significantly influencing market trends. The findings from this study underscore the significant impact that political figures can wield over financial markets through social media platforms.
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Presented to the 20th Annual Symposium on Graduate Research and Scholarly Projects (GRASP) held at the Rhatigan Student Center, Wichita State University, April 26, 2024.
Research completed in the Department of Business Analytics, Barton School of Business.
Research completed in the Department of Business Analytics, Barton School of Business.
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Wichita State University
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GRASP
v. 20
v. 20