Constructing a global fear index for the COVID-19 pandemic

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Salisu, Afees A. and Akanni, Lateef O. (2020) Constructing a global fear index for the COVID-19 pandemic. Emerging Markets Finance and Trade, 56 (10). pp. 2310-2331. ISSN 1540-496X (https://doi.org/10.1080/1540496x.2020.1785424)

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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.

ORCID iDs

Salisu, Afees A. and Akanni, Lateef O. ORCID logoORCID: https://orcid.org/0000-0002-5495-1173;
  • Item type:Article
    ID code:84983
    Dates:
    Date
    Event
    8 August 2020
    Published
    17 June 2020
    Accepted
    Subjects:Social Sciences > Finance
    Department:Strathclyde Business School > Economics
    Depositing user: Pure Administrator
    Date deposited:31 Mar 2023 14:17
    Last modified:15 Dec 2024 22:23
    URI:https://strathprints.strath.ac.uk/id/eprint/84983
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