我院2019级研究生董徐屹在西村友作教授指导下完成题为Trump Tweets’ Sentiment, Stock Market Volatility and Jumps的论文,并被The Journal of Financial Research正式接收。Journal of Financial Research是被SSCI收录的高水平经济学期刊,自2009年开始稳定获AJG(ABS)三星级评级。作为两年制硕士研究生,撰写英文论文并被SSCI期刊接收在我校较为少见。董徐屹同学能够在该期刊顺利发表论文,反映出他扎实的科研能力,也体现了我院研究生培养的水平和质量。
摘要
This study investigates the second-moment response to tweets from US president Donald J. Trump in the US stock market. We report that Trump's tweeting activity significantly and positively affects the volatility and jumps in our sample's later period. The response of realized volatility to tweets is greater than that of continuous volatility due to the realized volatility's jump component. These results suggest that Trump's tweets tend to cause jumps. In summary, Trump's tweeting activity impacts financial markets by increasing 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.
相关链接:https://onlinelibrary.wiley.com/doi/abs/10.1111/jfir.12248