Constructing a Global Fear Index for the COVID-19 Pandemic

By Afees A. Salisu, Lateef Akanni. Emerging markets finance & trade, 2020

229 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Modeling and Simulation

View Paper: https://www.semanticscholar.org/paper/df90af8246b75e7f6a6c3c6fb7f5660012935a77

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Sikiru Abidemi Abdulsalam
2. K. Prabheesh
3. Afees A. Salisu
4. Bhavesh Garg
5. Rakesh Padhan

In Modeling and Simulation

1. K. Prabheesh

Citations in the corpus

• COVID-19 and the Oil Price – Stock Market Nexus: Evidence From Net Oil-Importing Countries (2020, result): “…contribution to this literature is that we add to Other recent studies related to COVID-19 and its impact on various economic factors include Chen et al. (2020), He et al. (2020), Iyke (2020b), D. Liu et al. (2020), Phan & Narayan (2020), Salisu & Akanni (2020), and Yue et al. (2020), among others.”
• Pandemics and the Asia-Pacific Islamic Stocks (2020, background): “The study’s motivation has roots in the extant literature, which suggests a strong connection between the COVID-19 pandemic and conventional stocks (see, for example, Al-Awadhi et al., 2020; He et al., 2020; Phan & Narayan, 2020; Salisu & Akanni, 2020).”
• The nexus between COVID-19 fear and stock market volatility (2021, unknown): “The private sector, including small business enterprises with a low recovery period (Asif et al., 2020; Iram et al., 2021; Sarker et al., 2020; Tehreem et al., 2020), emphasised that the government should use import substitution or boost domestic consumer and production goods production.”
• COVID-19 lockdowns, stimulus packages, travel bans, and stock returns (2020, unknown): “…and insurance (C.T and Prabheesh, 2020; Wang et al. 2020); industry and sector effects (He et al. 2020a, b; Xiong et al. 2020; Gu et al. 2020); fear and sentiment effects (Chen et al., 2020; Salisu and Akanni, 2020) and politics and environment (see Apergis and Apergis, 2020; Ming et al. 2020).”