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Emerging Markets Finance and Trade ; : 1-12, 2022.
Article in English | Taylor & Francis | ID: covidwho-1852676
Emerging Markets Finance and Trade ; : 1-9, 2021.
Article in English | Taylor & Francis | ID: covidwho-1462097
Sustainability ; 13(6):3212, 2021.
Article in English | MDPI | ID: covidwho-1136539


This study contributes to the emerging literature offering alternative measures of uncertainty due to the COVID-19 pandemic. We combine both news-and macro-based trends to construct an index. The former involves the use of Google trends with plausible variants of words used to capture the pandemic, which are combined using principal components analysis to develop a news-based index. For the macro-based index, we identify global factors such as oil price, stock price, Dollar index, commodity index and gold price, and thereafter we obtain the macro-based uncertainty using variants of stochastic volatility models estimated with Bayesian techniques and using a dynamic factor model. Consequently, the new (composite) index is constructed by combining the news- and macro-based indexes using principal components analysis. Our empirical applications of the index to the stock return predictability of the countries hit worst by the pandemic confirm the superiority of the composite index over the existing news-based index in both the in-sample and out-of-sample forecast horizons. Our results are also robust to forecast horizons and competing model choices.

Resources Policy ; : 101932, 2020.
Article in English | ScienceDirect | ID: covidwho-939225


This study offers ray of hope for financial investors in five classes of assets [precious metals, fiat & virtual currencies, commodities, and long-term government bonds] that can provide protection against uncertainty risks captured in three well-known uncertainty indicators. The motivation for the study is that portfolio risk-management strategies can be enhanced by having expanded options of risk-free assets that are capable of delivering positive returns in harsh market situations. The in-depth analysis involve: (1) alternative econometric techniques and data frequencies, (2) use of country-specific economic policy uncertainty indices to complement the global index, (3) distinct analysis for the COVID-19 first wave period due to extant argument that the pandemic raise market uncertainties and our preliminary results showing co-movement among the three uncertainty indicators during the pandemic. The first set of results show all the seven assets as safe haven assets. The second set conducted for the first wave of the pandemic excludes long-term bonds & the US dollar. The study therefore recommends gold, silver, commodity futures and Bitcoin for inclusion in diversified portfolio risk-management strategies. The US dollar and bonds may not be considered.