西村友作、董徐屹（學）、孫便霞（外）, Trump Tweets: Sentiment, Stock Market Volatility and Jumps, The Journal of Financial Research (SSCI)
We investigate the second-moment response to tweets from US President Donald J. Trump in the US stock market. We find that Trump's tweeting positively and significantly affects the volatility and jumps during our sample's later period. The response of realized volatility to tweets is greater than that of continuous volatility because of the jump component in realized volatility. These results suggest that Trump's tweeting affects financial markets by sincreasing the market's jump tail risk, which cannot be hedged by investors without paying extra risk premiums, and therefore it requires careful consideration in investments.