JP Morgan is introducing an index to measure the impact of US President Donald Trump's tweets on financial markets.

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The 'Volfefe Index' is a nod to Trump's 'covfefe' tweet, the meaning and context of which remains a mystery. The US president ultimately deleted the incomplete tweet and later posted: "Who can figure out the true meaning of "covfefe" ??? Enjoy!," on May 31, 2017.

According to a report by JP Morgan, the US President has produced more than 10,000 tweets since taking office, at a pace that has accelerated in recent months to over a dozen non-retweets a day on his personal account.

The subject of these tweets has increasingly turned toward market-moving

topics, most prominently trade and monetary policy. And JP Morgan found that these tweets have increasingly moved the US rates markets immediately after publication.

In recent months, these tweets have received fewer likes and retweets than other contemporaneous remarks. Trump’s tweets effecting the bond market evidently ballooned during the US-China trade war, the report added.

The investment firm will analyze a rolling sample of recent tweets to judge how impactful the president’s remarks have been on volatility in US interest rates.

"A common refrain among investors as of late has been the perceived role of the president’s Twitter activity on both shorter-term market dynamics and longer-run expectations," the report noted.

"Trade and monetary policy have become an increasing focus for the executive branch, and everything from casual sentiments to seemingly formal policy intentions have been disseminated, globally and instantaneously, via this carefully scrutinized social media platform. In response, a broad swath of assets from single-name stocks to macro products have found their price dynamics increasingly beholden to a handful of tweets from the commander in chief," it added.

The US president has maintained a remarkably consistent daily presence on Twitter since taking office, averaging more than 10 tweets a day to his nearly 64 million followers since the start of 2016.

Out of the 4,000 non-retweet messages from 2018 to date during market hours, 146 have moved the markets, according to JP Morgan. While Trump was averaging around 10 tweets a day since 2016, the number has increased in recent months as per the investment bank's analysis.

Another interesting thing to note from the report is most of the tweets by Trump come in the afternoon between 12:00 pm to 2:00 pm with 1:00 pm tweet three times more likely. He is also more likely to tweet at 3:00 am than 3:00 pm.

The firm also identified words associated with market-moving tweets by appealing to their relative frequency of occurrence. The over 14,000 tweets since January 1, 2016, represent a rich corpus of language data from which to form statistics about the president’s Twitter vocabulary, it said.

The top-ranked 'market-moving words' found within impactful tweets buy the US President include — China, billion and products, the firm found. Meanwhile, dollars, tariffs, and trade are not much further down.

First Published:Sept 10, 2019 9:40 AM IST