Volfefe index

Donald Trump's Twitter activity from his first tweet in May 2009. Retweets are not included.

The Volfefe Index is a stock market index of volatility in market sentiment for US Treasury bonds caused by tweets by 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" references 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][10] 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][10] Key words in tweets often include "China", "billion", "products", "Democrats", "great", "dollars", "tariffs" and "trade".[2][9][10]

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]

References

  1. ^ a b c d Alloway, Tracy (September 9, 2019), "JPMorgan Creates 'Volfefe' Index to Track Trump Tweet Impact", Bloomberg News, retrieved September 10, 2019
  2. ^ a b c d e f Chau, David (September 10, 2019), "Donald Trump's impact on market volatility tracked by new JP Morgan 'Volfefe' index", ABC News Online, retrieved September 10, 2019
  3. ^ a b c Ahmed, Saqib Iqbal (September 9, 2019), "'Volfefe': a volatility index for the Trump era", Reuters, retrieved September 10, 2019
  4. ^ a b Gibson, Kate (September 9, 2019), "'Volfefe index' tracks market impact of Trump's tweets", CBS News, retrieved September 10, 2019
  5. ^ a b Horowitz, Julia (September 9, 2019), "JPMorgan has created a 'Volfefe Index' to track how Trump's tweets move markets", CNN, retrieved September 9, 2019
  6. ^ a b 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, retrieved September 10, 2019
  7. ^ a b 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, retrieved September 10, 2019
  8. ^ a b Ashworth, Louis (September 10, 2019), "The Volfefe Index aims to track just how Donald Trump's tweets move markets", The Daily Telegraph, retrieved September 10, 2019
  9. ^ a b c 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, retrieved September 10, 2019
  10. ^ a b c "How much do Trump tweets swing the market? Check 'Volfefe'", Yahoo! Finance, Associated Press, September 9, 2019, retrieved September 10, 2019

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