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The “Donald” and the market: Is there a cointegration?

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Listed:
  • Angelini, Eliana
  • Foglia, Matteo
  • Ortolano, Alessandra
  • Leone, Maria

Abstract

This paper analyses the relationship between post-election main sentiment on Donald Trump and financial markets. The sample period, spans from 8 November (the election Day) and 28 February. Our study intends to verify if there exist a co-implication between Trump’s Favorable (TF), namely the percentage of favorable opinions on Trump, and some financial variables (i.e. stock and Treasury returns, currency and commodities). The results of cointegration analysis show that Trump’s Favorable has explanatory power for stock market returns, 10 long term Treasury bond and decrease of gold. Furthermore, we found no evidence of the opposite relation.

Suggested Citation

  • Angelini, Eliana & Foglia, Matteo & Ortolano, Alessandra & Leone, Maria, 2018. "The “Donald” and the market: Is there a cointegration?," Research in International Business and Finance, Elsevier, vol. 45(C), pages 30-37.
    • Handle: RePEc:eee:riibaf:v:45:y:2018:i:c:p:30-37
    DOI: 10.1016/j.ribaf.2017.07.129
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    More about this item

    Keywords

    Trump’s FavorableTrump’s favorable; Financial cointegration; Poll sentiment; Markets;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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