CEU Electronic Theses and Dissertations, 2020
| Author | Le, Trung The |
|---|---|
| Title | The impact of social media on movement of the VIX index: The case of Donald Trump |
| Summary | In my thesis, I investigate the impact of Donald Trump’s tweets on the CBOE's Volatility Index (VIX). I analyze a sample of Trump’s tweets from January 20, 2017 to April 12, 2020 with the use of AFINN, a sentiment analysis tool. On the one hand, the results reveal that Trump’s tweets are not significant predictors of the VIX index. The interaction of Coronavirus and Trump’s tweets sentiment scores are also not a significant predictors for the VIX. However, investors are more sensitive to Trump’s tweets volume in the Coronavirus than in the non-Coronavirus period. On the other hand, percentage change of VIX on Friday are lower than the change of VIX on other working days. Keywords: Donald Trump, Twitter, VIX Index, AFINN, Coronavirus. |
| Supervisor | Lee, Tomy |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2020/le_trung.pdf |
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