Replication Data for: Does the @realDonaldTrump Really Matter to Financial Markets?

Does the @realDonaldTrump really matter to financial markets? Research shows that new information about the likely future policy direction of government affects financial markets. In contrast, we argue that new information can also arise about the likely future policy commitment of government, affecting financial markets as well. We test our argument using data on US president Donald J. Trump’s Mexico-related policy tweets and the US dollar/Mexican peso exchange rate. We find not only that Trump’s Mexico-related tweets raised Mexican peso volatility while his policy views were unknown, but also thereafter, as they clarified his commitment to his Mexico-related policy goals. We argue that, by helping politicians disseminate policy information to voters and helping voters hold governments accountable for their policy performance, social media allows investors to gather information about the future policy direction and policy commitment of government, especially those run by newcomers whose policy direction and commitment are unknown.