Date of Submission
Campus Only Senior Thesis
Bachelor of Arts
2020 Christian L Curcio
In recent event study literature, economists conduct a series of tests to see if there are abnormal returns for stock prices in the days following tweets from President Donald Trump. Despite their findings, I feel they lack to prove the economic importance of the tweet in the modern market. Due to advancements in technology and information mediums, traders, investors and financial practitioners can analyze and trade on news in seconds. The true test of economic significance is not found in the days after the event, it is found in the minutes after the event. In order to find potential economic significance, I conduct three statistical tests; the T-test for abnormal returns, a series of regressions to see actual change in returns and predictive probability to see what is the likelihood of abnormal returns occurring given a specific event. In all three tests, no conclusive evidence can be found for the sample data. Despite this, I feel this study provides good groundwork to testing for abnormal returns in ultra short term event studies, as well as determining if an event can serve as some type of indicator to price change. By doing these two things, one can determine the economic significance of an event.
Curcio, Christian, "Analyzing the Minute by Minute Price Reactions to the SP500 future Index Following President Donald Trump’s Tweets" (2020). CMC Senior Theses. 2483.
This thesis is restricted to the Claremont Colleges current faculty, students, and staff.