Make market volatility great again? Analysts at JPMorgan Chase & Co have created an index to gauge the effect of US President Donald Trump’s tweets on US interest rates, which they say is on the rise.
The “Volfefe Index,” named after Trump’s mysterious “covfefe” tweet, suggests that the president’s tweets are having a statistically significant effect on Treasury yields.
The number of market-moving Trump tweets has ballooned in the past month, with those including words such as “China,” “billion,” “products,” “democrats” and “great” most likely to affect prices, the analysts found.
“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,” analysts led by Josh Younger and Munier Salem wrote.
“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,” they wrote.
The president has averaged about 10 tweets a day since the start of 2016, with 10,000 tweets occurring after his inauguration in 2017, JPMorgan’s analysis showed.
Trump’s Twitter activity reached a low of five tweets per day heading into his official inauguration, but has picked up substantially since late last year — with his highest number of tweets in the past four years occurring in the past few months.
JPMorgan’s analysis looked at Treasury yields in the five minutes after a Trump tweet, and the index shows the rolling one-month probability that each missive is market-moving.
They found that the Volfefe Index can account for a “measurable fraction” of moves in implied volatility, seen in interest rate derivatives known as swaptions.
That is particularly apparent at the shorter end of the curve, with two and five-year rates affected more than 10-year securities.
JPMorgan is not alone in attempting to calculate the effect of the president’s Twitter activity on markets.
Analysts at Bank of America Merrill Lynch published a note last week concluding that days where Trump tweets relatively frequently tend to see negative returns of nine basis points on average. Days with fewer presidential tweets tend to see positive returns of five basis points on average.
Still, the S&P 500 is up more than 35 percent since Trump won the 2016 election.
With this year’s Semicon Taiwan trade show set to kick off on Wednesday, market attention has turned to the mass production of advanced packaging technologies and capacity expansion in Taiwan and the US. With traditional scaling reaching physical limits, heterogeneous integration and packaging technologies have emerged as key solutions. Surging demand for artificial intelligence (AI), high-performance computing (HPC) and high-bandwidth memory (HBM) chips has put technologies such as chip-on-wafer-on-substrate (CoWoS), integrated fan-out (InFO), system on integrated chips (SoIC), 3D IC and fan-out panel-level packaging (FOPLP) at the center of semiconductor innovation, making them a major focus at this year’s trade show, according
DEBUT: The trade show is to feature 17 national pavilions, a new high for the event, including from Canada, Costa Rica, Lithuania, Sweden and Vietnam for the first time The Semicon Taiwan trade show, which opens on Wednesday, is expected to see a new high in the number of exhibitors and visitors from around the world, said its organizer, SEMI, which has described the annual event as the “Olympics of the semiconductor industry.” SEMI, which represents companies in the electronics manufacturing and design supply chain, and touts the annual exhibition as the most influential semiconductor trade show in the world, said more than 1,200 enterprises from 56 countries are to showcase their innovations across more than 4,100 booths, and that the event could attract 100,000 visitors. This year’s event features 17
EXPORT GROWTH: The AI boom has shortened chip cycles to just one year, putting pressure on chipmakers to accelerate development and expand packaging capacity Developing a localized supply chain for advanced packaging equipment is critical for keeping pace with customers’ increasingly shrinking time-to-market cycles for new artificial intelligence (AI) chips, Taiwan Semiconductor Manufacturing Co (TSMC, 台積電) said yesterday. Spurred on by the AI revolution, customers are accelerating product upgrades to nearly every year, compared with the two to three-year development cadence in the past, TSMC vice president of advanced packaging technology and service Jun He (何軍) said at a 3D IC Global Summit organized by SEMI in Taipei. These shortened cycles put heavy pressure on chipmakers, as the entire process — from chip design to mass
SEMICONDUCTOR SERVICES: A company executive said that Taiwanese firms must think about how to participate in global supply chains and lift their competitiveness Taiwan Semiconductor Manufacturing Co (TSMC, 台積電) yesterday said it expects to launch its first multifunctional service center in Pingtung County in the middle of 2027, in a bid to foster a resilient high-tech facility construction ecosystem. TSMC broached the idea of creating a center two or three years ago when it started building new manufacturing capacity in the US and Japan, the company said. The center, dubbed an “ecosystem park,” would assist local manufacturing facility construction partners to upgrade their capabilities and secure more deals from other global chipmakers such as Intel Corp, Micron Technology Inc and Infineon Technologies AG, TSMC said. It
RSS