Political news and stock prices: evidence from Trump’s trade war

Burggraf, Tobias; Fendel, Ralf; Huynh, Toan Luu Duc

doi:10.1080/13504851.2019.1690626

Cited by 62 publications

(34 citation statements)

References 9 publications

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“…It is clear from this that stock markets are interdependent. As such, Mun and Brooks (2012) and Burggraf et al (2019) evaluate that risks could be incurred by transmission by higher movements from stock prices. This can be easily understood from the financial crisis, which enlarged risk through contagion possibilities: the more volatility, the more transmission.…”

Section: Introductionmentioning

confidence: 99%

Tail dependence in emerging ASEAN-6 equity markets: empirical evidence from quantitative approaches

Duong

Huynh

2020

Financ Innov

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This study contributes a rich set of quantitative methodologies including a nonparametric approach (Chi-plots and K-plots) as well as copulas (traditional and timevarying with Student's t-copulas) to the existing literature in terms of determining the dependence structure in ASEAN stock markets. Drawing on the emerging ASEAN equity returns of six countries from January 2001 to December 2017, we found that Student's t-copulas under time-varying approach is the most appropriate approach to explain these co-movements. Among all research return pairs, the dependence between Vietnam and other ASEAN equity indices has the lowest value. Meanwhile, all couples show left-and right-tail dependence by each pair for pre-and postfinancial shocks. Hence, diversification across these pairs of equity markets from ASEAN is still adequate for international investors, though it might trigger contagion risks.

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Section: Introductionmentioning

confidence: 99%

Tail dependence in emerging ASEAN-6 equity markets: empirical evidence from quantitative approaches

Duong

Huynh

2020

Financ Innov

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“…Regarding the trade tensions and resulting trade policy uncertainty, the recent empirical evidence suggests adverse implications for various aspects of the global economy and financial sector such as tariffs, exports, market access, investments, economic activity, employment, and stock markets ( Baker, Bloom, Davis, & Kost, 2019 ; Crowley, Meng, & Song, 2018 ; Caldara, Matteo, Patrick, Andrea, & Andrea, 2020 ; Osnago, Piermartini, & Rocha, 2015 ; Osnago, Piermartini, & Rocha, 2018 ). Specifically, the US-China trade war, as declared by the US President Donald Trump, is found to not only harm the US equity market ( Burggraf, Fendel, & Huynh, 2019 ) but also detrimental for the global stock markets ( Huynh & Burggraf, 2020 ; Thanh, Canh, & Doytch, 2020 ).…”

Section: Introductionmentioning

confidence: 99%

Spillovers and connectedness in foreign exchange markets: The role of trade policy uncertainty

Huynh

Nasir

Nguyen

2023

The Quarterly Review of Economics and Finance

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Highlights Directional spillover effects and connectedness for both return and volatility. Nine US dollar exchange rates of globally most traded currencies. Asymmetric spillovers and connectedness among these currencies with trade policy uncertainty. The stronger volatility spillover than the return connectedness. The role for predicting currency market dynamics with the trade policy uncertainty patterns.

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“…Since Trump was elected president of the United States on November 8, 2016, the literature has addressed the question of how financial markets respond to information from tweets posted on his official social media account, or “Trump tweets.” Recent studies of first‐ and second‐moment responses for various classes of stock indices include Born et al's (2017) and Ge et al's (2019) work on specific firms publicly traded on the US stock market, Colonescu's (2018) study of the Dow Jones Industrial Average index, Burggraf et al's (2020) research on the S&P 500 and volatility indices, and Klaus and Koser's (2021) examination of eight European stock market indices. In comparison, we focus on the continuous volatility (CV) and discrete jump responses to Trump tweets in the US stock market.…”

Section: Introductionmentioning

confidence: 99%

Trump's tweets: Sentiment, stock market volatility, and jumps

Nishimura

Dong

Sun

2021

J of Financial Research

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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.

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Political news and stock prices: evidence from Trump’s trade war

Cited by 62 publications

References 9 publications

Tail dependence in emerging ASEAN-6 equity markets: empirical evidence from quantitative approaches

Tail dependence in emerging ASEAN-6 equity markets: empirical evidence from quantitative approaches

Spillovers and connectedness in foreign exchange markets: The role of trade policy uncertainty

Trump's tweets: Sentiment, stock market volatility, and jumps

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