In this study, we examine the predictive power of the recently constructed Volfefe Index, the quantification of the tweeting activity of the U.S. president Donald J. Trump, on the dynamics of European stock markets. After controlling for a set of macroeconomic and financial factors, we show that the Trump Tweet factor contributes to the prediction of European stock market returns. The results obtained from a rolling-window regression approach indicate that the relationship between the Volfefe Index and European stock market returns is heterogeneous and time-varying. These dynamics coincide surprisingly well with a series of presidential tweets, identifying the directional effect of the Trump Twitter factor.
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