Finance:Volfefe index
The Volfefe Index was a stock market index of volatility in market sentiment for US Treasury bonds caused by tweets by former President Donald Trump.[1][2][3]
Bloomberg News observed Volfefe was created due to the statistical significance of Trump tweets on bond prices.[1] ABC News Online posited Volfefe could help analyze interest rate risk in the face of "unpredictable" activity on social media by Trump.[2]
Etymology
The name "Volfefe" is a portmanteau of volatility and the "covfefe" tweet by Trump.[3][4][5]
Creation
Volfefe was launched by JPMorgan Chase on September 9, 2019.[1][3][4]
Methods
In forming the basis of the methodology behind Volfefe, JPMorgan Chase used software to analyse the corpus of Trump's tweets.[6][7][8] 14,000 tweets were used in the analysis to form the initial projections for their software.[6] Their analysts determined that there were direct correlations between tweets and subsequent market movements.[5][7][8] These market movements were most notably evidenced when the tweet specifically references financial matters including the US Federal Reserve.[2][9] The tweets issued during the working day of the New York Stock Exchange were more likely to cause a change in market sentiment; however, it was noted that the tweets can come at any time of day and thus have an effect on markets around the world.[2][9] Key words in tweets often include "China ", "billion", "products", "Democrats", "great", "dollars", "tariffs" and "trade".[2][9]
Analysis
Bloomberg News noted, "JPMorgan’s 'Volfefe Index,' named after Trump’s mysterious covfefe tweet from May 2017, suggests that the president’s electronic musings are having a statistically significant impact on Treasury yields."[1]
ABC News Online commented JP Morgan created Volfefe, "to measure how much impact Mr Trump's unpredictable tweets have on US interest rates".[2]
See also
- Big Mac Index
- Black swan theory
- Economic Policy Uncertainty Index
- Greed and fear
- Hemline index
- Market trend
- Probability of default
- S&P/ASX 200 VIX
- SKEW
- Twitter diplomacy
- Use of Twitter by public figures
- VIX
- Waffle House Index
References
- ↑ 1.0 1.1 1.2 1.3 Alloway, Tracy (September 9, 2019), "JPMorgan Creates 'Volfefe' Index to Track Trump Tweet Impact", Bloomberg News, https://www.bloomberg.com/news/articles/2019-09-09/jpmorgan-creates-volfefe-index-to-track-trump-tweet-impact, retrieved September 10, 2019
- ↑ 2.0 2.1 2.2 2.3 2.4 2.5 Chau, David (September 10, 2019), "Donald Trump's impact on market volatility tracked by new JP Morgan 'Volfefe' index", ABC News Online, https://www.abc.net.au/news/2019-09-10/trump-volfefe-index/11495726, retrieved September 10, 2019
- ↑ 3.0 3.1 3.2 Ahmed, Saqib Iqbal (September 9, 2019), "'Volfefe': a volatility index for the Trump era", Reuters, https://www.reuters.com/article/us-usa-markets-trump-volatility/volfefe-a-volatility-index-for-the-trump-era-idUSKCN1VU1XR, retrieved September 10, 2019
- ↑ 4.0 4.1 Gibson, Kate (September 9, 2019), "'Volfefe index' tracks market impact of Trump's tweets", CBS News, https://www.cbsnews.com/news/volfefe-index-jpmorgan-chase-creates-index-to-track-market-impact-of-president-trumps-tweets/, retrieved September 10, 2019
- ↑ 5.0 5.1 Horowitz, Julia (September 9, 2019), "JPMorgan has created a 'Volfefe Index' to track how Trump's tweets move markets", CNN, https://www.cnn.com/2019/09/09/investing/jpmorgan-trump-tweets-volfefe-index/, retrieved September 9, 2019
- ↑ 6.0 6.1 Khan, Yusuf (September 9, 2019), "A JPMorgan bot analyzed 14,000 Trump tweets and found they're having an increasingly sharp impact on markets", Business Insider, https://markets.businessinsider.com/news/stocks/jpmorgan-volvefe-index-on-impact-of-trump-tweets-on-market-volatility-2019-9-1028508499, retrieved September 10, 2019
- ↑ 7.0 7.1 Kollmeyer, Barbara (September 9, 2019), "J.P. Morgan made a 'Volfefe' index to track how Trump tweets move the bond market — here's what it shows", MarketWatch, https://www.marketwatch.com/story/are-trump-tweets-influencing-bond-volatility-jp-morgans-volfefe-index-aims-to-find-out-2019-09-09, retrieved September 10, 2019
- ↑ 8.0 8.1 Ashworth, Louis (September 10, 2019), "The Volfefe Index aims to track just how Donald Trump's tweets move markets", The Daily Telegraph, https://www.telegraph.co.uk/business/2019/09/10/volfefe-index-aims-track-just-donald-trumps-tweets-move-markets/, retrieved September 10, 2019
- ↑ 9.0 9.1 9.2
- Newburger, Emma (September 8, 2019), "JP Morgan has created an index to track the effect of Trump's tweets on financial markets: 'Volfefe index'", CNBC, https://www.cnbc.com/2019/09/08/donald-trump-is-tweeting-more-and-its-impacting-the-bond-market.html, retrieved September 10, 2019 2="How much do Trump tweets swing the market? Check 'Volfefe'", Yahoo! Finance, September 9, 2019, https://finance.yahoo.com/news/much-trump-tweets-swing-market-142834256.html, retrieved September 10, 2019
External links
- President Trump (official) on Twitter
- Donald Trump (personal) on Twitter
- Trump Tweets at CNN
- List of Donald Trump deleted tweets on Factbase
- Trump Twitter archive Searchable database
- Trump2Cash (stock trading bot) on Twitter
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