• Abnormal returns using three different models are estimated • The study shows sector specific sensitivity to the event • Speed of information diffusion varies significantly across the sectors This study looks at stock market behaviour over an 11-day window during Donald Trump's presidential elections in 2016 and 2024. It estimates abnormal returns using three different models, namely the constant return model, market-adjusted model, and market model. The study findings show sector specific sensitivity to the event and evolution of information diffusion by 2024. Feature selections confirm that market price movements and volatility explain most of the return patterns around the event as compared to the tweet sentiment. The study findings are highly useful for policymakers, investors, and researchers who have an interest in the impact of political turbulence on financial markets.
Mlandu et al. (Sun,) studied this question.
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