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.

中文翻译：

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特朗普的推文：情绪、股市波动和跳涨

我们调查了美国股市对美国总统唐纳德·J·特朗普 (Donald J. Trump) 推文的第二时刻反应。我们发现特朗普的推文积极且显着地影响了我们样本后期的波动性和跳跃性。由于已实现波动率中的跳跃分量，已实现波动率对推文的响应大于连续波动率的响应。这些结果表明，特朗普的推文通过增加市场的跳尾风险来影响金融市场，投资者在不支付额外风险溢价的情况下无法对冲，因此在投资时需要慎重考虑。