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Constructing a Global Fear Index for the COVID-19 Pandemic
Salisu, Afees A.; Akanni, Lateef O..
  • Salisu, Afees A.; Centre for Econometric Allied Research. Ibadan. Nigeria
  • Akanni, Lateef O.; Centre for Econometric Allied Research. Ibadan. Nigeria
Emerg. Mark. Financ. Trade ; 10(56): 2310-2331, 20200808.
Article in English | WHO COVID, ELSEVIER | ID: covidwho-671493
ABSTRACT
This paper offers two main innovations. First, we construct a global fear index (GFI) for the COVID-19 pandemic to support economic, financial, and policy analyses in this area. Second, we demonstrate the application of the index to stock return predictability using OECD data. The panel data predictability results reveal the significance of the index as a good predictor of stock returns during the pandemic. Also, we find that accounting for “asymmetry” effect and macro (common) factors improves the forecast performance of the GFI-based predictive model for stock returns. With regular updates and improvements of the index, several empirical analyses can be extended to other macroeconomic fundamentals in future research.

Full text: Available Collection: International databases Database: WHO COVID / ELSEVIER Type of study: Prognostic study Language: English Journal: Emerg. Mark. Financ. Trade Year: 2020 Document Type: Article Institution/Affiliation country: Centre for Econometric Allied Research/Nigeria

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Full text: Available Collection: International databases Database: WHO COVID / ELSEVIER Type of study: Prognostic study Language: English Journal: Emerg. Mark. Financ. Trade Year: 2020 Document Type: Article Institution/Affiliation country: Centre for Econometric Allied Research/Nigeria