The "Donald" and the markets: is there a cointegration?, Research in International Business and Finance 45 (2018)
Author(s)
Foglia, Matteo
Ortolano, Alessandra
Leone, Maria
Angelini, Eliana
Date Issued
2018
Type
article
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 indends to verify if there exists 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 on the opposite relation.