CNBC's Jim Cramer does not believe that Wall Street actually thinks President Donald Trump is going to slap a 5% tariff on all of Mexico's imports.

Otherwise, he said Friday, "The market should be down much more."

The Dow Jones Industrial Average was dropping nearly 300 points Friday morning, the last day of a terrible May that saw the Dow sink more than 5.3% as of Thursday's close.

Cramer said the "markets may be wrong" since traders did not think the president would follow through on threats to hike tariff rates to 25% on $200 billion of Chinese goods.

But earlier this month, Trump did.

Trump tweeted Thursday evening that he would impose a 5% tariff on Mexican imports, beginning next month, if Mexico does not take action to "reduce or eliminate the number of illegal aliens" crossing into the U.S.

Last year, Mexico was the second-largest importer of goods into the U.S., according to the Office of the U.S. Trade Representative. The U.S. imported $346.5 billion of Mexican goods last year, and the total accounted for 13.6% of 2018's overall imports.

Trump's new threat came out of left field and it's "all kind of astonishing," Cramer said on "Squawk Alley." But if the markets thought the president were really serious, Cramer said he would expect to see General Motors down 15%. In early trading, shares of the automaker were down 4.5%.