JP Morgan Creates "Volfefe Index" to Measure Market impact of Trump Tweets

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The Bank estimated that the American leader publishes about 5-10 tweets per day.

Donald Trump has been tweeting more than ever in recent months and is also moving financial markets more, according to a new report by JPMorgan Chase that analyzed the United States president's Twitter habit.

Trump's most market-moving tweets dwell on trade, and, to a lesser extent, monetary policy, with the words "China", "billion", "products", "dollars", "tariffs" and "trade" making the top list, the JP Morgan analysis found. They also claimed that a number of assets, single-name stocks to macro products, have seen a change in their price dynamics on the basis of Trump's tweets.

Since his election in 2016, Trump tweets an average of about 10 times a day, about 14,000 times since then from his personal account, with 10,000 occurring after his 2017 inauguration.

Prices for everything from Treasurys to stocks to gold screeched into a U-turn immediately following a recent tweet from Donald Trump.

The president's tweets have included a direct Fed reference 20 times over the past month.

"My only question is, who our bigger enemy, Jay Powell or Chairman Xi?"

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More tweeting by Mr. Trump means more opportunities for tweets that move markets, although only some of them actually do.

The bank's analysts found that 146 out of his roughly 4,000 tweets (excluding retweets), since early-2018, can explain a "measurable fraction of moves" on shorter-term two, five and 10-year bond interest rates. It found that his tweets generally followed a stretch of volatility across global currency markets. "And we find strong evidence that tweets have increasingly moved USA rates markets immediately after publication".

But analysts at JP Morgan have now quantified the impact of his tweets on the U.S. interest rates market.

The ramifications of @realDonaldTrump's market takes aren't so definitive to be of use in the design of systemic strategies, Citi cautions.

The strategists at the bank said that about 10 percent of the American president's tweets since he took office in November 2016 pertain to subjects of importance to U.S. markets.

JPMorgan and Citigroup aren't alone in attempting to calculate the impact of the president's Twitter activity on markets.

In a note, JPMorgan analysts say Trump's tweets "have played a statistically significant role in elevating implied volatility".