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題名 政治人物，推特與金融市場： 來自川普推特的證據
Politicians, Twitter, and Financial Markets: Evidence from Donald Trump’s tweets作者 孔美玲
Consunji, Margaret A.貢獻者 楊子霆<br>羅光達
Yang, Tzu-Ting<br>Lo, Kuang-Ta
孔美玲
Consunji, Margaret A.關鍵詞 川普
合成控制法
推特
股價
匯率
Trump
Synthetic Control Method
Twitter
Stock Prices
Exchange Rates日期 2019 上傳時間 5-Sep-2019 17:42:38 (UTC+8) 摘要 The use of Twitter as a key political communication tool has become synonymous with U.S. President Donald Trump’s regime. However, Trump’s tweets can also tend to be unabashedly critical of companies, states, and other political figures. Whether or not these negative tweets have an impact on financial markets is debatable. This paper uses the synthetic control method (SCM) to examine the effects of Trump’s negative trade- and business-related tweets on financial markets, particularly stock prices and exchange rates. Three publicly traded U.S. companies (Boeing, Amazon, Harley-Davidson) and three currencies (Euro, Canadian dollar, Mexican peso) were chosen, while 1-2 tweets were collected for each treatment unit. To create the synthetic control for each treatment unit, extensive control unit data was also collected. Then, for each treatment unit, two synthetic control models were created, with one model containing all outcome lags and all covariates whilst the other contained all outcome lags and some covariates. We found that for each treatment unit, the two models were similar, indicating that the results were robust. Overall, we found that results varied depending on the “target” of Trump’s tweets, with the causal effect being most significant for Amazon and Mexico, likely due to the fact that traders or investors may react differently to Trump’s tweets and may base their decisions on certain company- or country-specific characteristics or features, such as type of industry, trade ties, and geographical proximity, among others. 參考文獻 Abadie, A., Diamond, A., & Hainmueller, J. (2010). Synthetic Control Methods for Comparative Case Studies: Estimating the Effect of California’s Tobacco Control Program. Journal of the American Statistical Association, 105(490), 493–505. https://doi.org/10.1198/jasa.2009.ap08746Abadie, A., Diamond, A., & Hainmueller, J. (2011). SYNTH: Stata module to implement Snythetic Control Methods for Comparative Case Studies. Retrieved from https://web.stanford.edu/~jhain/synthpage.htmlAbadie, A., Diamond, A., & Hainmueller, J. (2015). Comparative Politics and the Synthetic Control Method. American Journal of Political Science, 59(2), 495–510. https://doi.org/10.1111/ajps.12116Alonso-Muñoz, L., Marcos-García, S., & Casero-Ripollés, A. (2016). Political leaders in (inter)action. Twitter as a strategic communication tool in electoral campaigns. Trípodos, 71–90. Retrieved from https://core.ac.uk/download/pdf/155003405.pdfapilayer. (2019). currencylayer API. Retrieved June 1, 2019, from currencylayer API | Free, Reliable Currency Converter API website: https://currencylayer.com/Barber, B. M., & Odean, T. (2013). The Behavior of Individual Investors. 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Retrieved from https://twitter.com/realDonaldTrump/status/740972317191352320Trump, D. [realDonaldTrump]. (2018a, June 22). “Based on the Tariffs and Trade Barriers long placed on the U.S. & its great companies and workers by the European Union, if these Tariffs and Barriers are not soon broken down and removed, we will be placing a 20% Tariff on all of their cars coming into the U.S. Build them here!”. [Twitter Post]. Retrieved from https://twitter.com/realdonaldtrump/status/1010320166486454272Trump, D. [realDonaldTrump]. (2018b, September 1). “I love Canada, but they’ve taken advantage of our Country for many years!”. [Twitter Post]. Retrieved from https://twitter.com/realdonaldtrump/status/1035850173224824832?lang=enTrump, D. [realDonaldTrump. (2019, June 1). “...travesty that is taking place in allowing millions of people to easily meander through their country and INVADE the U.S., not to mention the Drugs & Human Trafficking pouring in through Mexico. Are the Drug Lords, Cartels & Coyotes really running Mexico? We will soon find out! ....U.S. in order to avoid paying the 25% Tariff. Like Mexican companies will move back to the United States once the Tariff reaches the higher levels. They took many of our companies & jobs, the foolish Pols let it happen, and now they will come back unless Mexico stops the.....”. [Twitter Post]. Retrieved from https://twitter.com/realdonaldtrump/status/1134921830773469184?lang=enUhl, M. W. (2017). Emotions Matter: Sentiment and Momentum in Foreign Exchange. Journal of Behavioral Finance, 18(3), 249–257. https://doi.org/10.1080/15427560.2017.1332061Vasquez, J. (2018, February 22). In One Tweet, Kylie Jenner Wiped Out $1.3 Billion of Snap’s Market Value. Bloomberg. Retrieved from https://www.bloomberg.com/news/articles/2018-02-22/snap-royalty-kylie-jenner-erased-a-billion-dollars-in-one-tweetVitali, A. (2017, June 7). Trump’s tweets should be taken as official statements, the White House says. NBC News. Retrieved from https://www.nbcnews.com/politics/white-house/trump-s-tweets-official-statements-spicer-says-n768931Wagner, K. (2019, February 7). Twitter finally shared how big its daily user base is — and it’s a lot smaller than Snapchat’s. Retrieved May 21, 2019, from Vox website: https://www.vox.com/2019/2/7/18215204/twitter-daily-active-users-dau-snapchat-q4-earnings 描述 碩士
國立政治大學
應用經濟與社會發展英語碩士學位學程(IMES)
105266009資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105266009 資料類型 thesis dc.contributor.advisor 楊子霆<br>羅光達 zh_TW dc.contributor.advisor Yang, Tzu-Ting<br>Lo, Kuang-Ta en_US dc.contributor.author (Authors) 孔美玲 zh_TW dc.contributor.author (Authors) Consunji, Margaret A. en_US dc.creator (作者) 孔美玲 zh_TW dc.creator (作者) Consunji, Margaret A. en_US dc.date (日期) 2019 en_US dc.date.accessioned 5-Sep-2019 17:42:38 (UTC+8) - dc.date.available 5-Sep-2019 17:42:38 (UTC+8) - dc.date.issued (上傳時間) 5-Sep-2019 17:42:38 (UTC+8) - dc.identifier (Other Identifiers) G0105266009 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/125989 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 應用經濟與社會發展英語碩士學位學程(IMES) zh_TW dc.description (描述) 105266009 zh_TW dc.description.abstract (摘要) The use of Twitter as a key political communication tool has become synonymous with U.S. President Donald Trump’s regime. However, Trump’s tweets can also tend to be unabashedly critical of companies, states, and other political figures. Whether or not these negative tweets have an impact on financial markets is debatable. This paper uses the synthetic control method (SCM) to examine the effects of Trump’s negative trade- and business-related tweets on financial markets, particularly stock prices and exchange rates. Three publicly traded U.S. companies (Boeing, Amazon, Harley-Davidson) and three currencies (Euro, Canadian dollar, Mexican peso) were chosen, while 1-2 tweets were collected for each treatment unit. To create the synthetic control for each treatment unit, extensive control unit data was also collected. Then, for each treatment unit, two synthetic control models were created, with one model containing all outcome lags and all covariates whilst the other contained all outcome lags and some covariates. We found that for each treatment unit, the two models were similar, indicating that the results were robust. Overall, we found that results varied depending on the “target” of Trump’s tweets, with the causal effect being most significant for Amazon and Mexico, likely due to the fact that traders or investors may react differently to Trump’s tweets and may base their decisions on certain company- or country-specific characteristics or features, such as type of industry, trade ties, and geographical proximity, among others. en_US dc.description.tableofcontents List of Figures vList of Tables viiI. Introduction 11.1 Background 11.2 Objectives and significance 31.3 Methods 31.4 Structure 4II. Literature Review 62.1 The Effect of Political and Macroeconomic News on Financial Markets 62.2 Twitter, Tweets, and Influence 82.3 Connecting the Dots between Tweets and Financial Markets 102.4 President Trump`s Tweets and Financial Markets 11III. Methodology 153.1 Data Collection 153.1.1 Tweets 153.1.2 Treatment Companies and Countries 183.1.3 Dependent and Independent Variables 193.2 Theoretical Background 19IV. Results and Discussion 274.1 Stock Price Models 274.1.1 Boeing 294.1.2 Amazon 324.1.3 Harley-Davidson 354.2 Exchange Rate Models 374.2.1 Euro 404.2.2 Canadian dollar 444.2.3 Mexican peso 46V. Conclusion 50References 52Appendices 59Appendix 1 59Appendix 2 61Appendix 3 63Appendix 4 64Appendix 5 64Appendix 6 65Appendix 7 65Appendix 8 66Appendix 9 66Appendix 10 67Appendix 11 67Appendix 12 68Appendix 13 68Appendix 14 69Appendix 15 70 zh_TW dc.format.extent 1967227 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105266009 en_US dc.subject (關鍵詞) 川普 zh_TW dc.subject (關鍵詞) 合成控制法 zh_TW dc.subject (關鍵詞) 推特 zh_TW dc.subject (關鍵詞) 股價 zh_TW dc.subject (關鍵詞) 匯率 zh_TW dc.subject (關鍵詞) Trump en_US dc.subject (關鍵詞) Synthetic Control Method en_US dc.subject (關鍵詞) Twitter en_US dc.subject (關鍵詞) Stock Prices en_US dc.subject (關鍵詞) Exchange Rates en_US dc.title (題名) 政治人物，推特與金融市場： 來自川普推特的證據 zh_TW dc.title (題名) Politicians, Twitter, and Financial Markets: Evidence from Donald Trump’s tweets en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Abadie, A., Diamond, A., & Hainmueller, J. (2010). Synthetic Control Methods for Comparative Case Studies: Estimating the Effect of California’s Tobacco Control Program. Journal of the American Statistical Association, 105(490), 493–505. https://doi.org/10.1198/jasa.2009.ap08746Abadie, A., Diamond, A., & Hainmueller, J. (2011). SYNTH: Stata module to implement Snythetic Control Methods for Comparative Case Studies. Retrieved from https://web.stanford.edu/~jhain/synthpage.htmlAbadie, A., Diamond, A., & Hainmueller, J. (2015). Comparative Politics and the Synthetic Control Method. American Journal of Political Science, 59(2), 495–510. https://doi.org/10.1111/ajps.12116Alonso-Muñoz, L., Marcos-García, S., & Casero-Ripollés, A. (2016). Political leaders in (inter)action. Twitter as a strategic communication tool in electoral campaigns. Trípodos, 71–90. Retrieved from https://core.ac.uk/download/pdf/155003405.pdfapilayer. (2019). currencylayer API. 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