The DOI matches its Crossref record; 49 of the 49 references it cites were found in a registry or an index.
Constructing a Global Fear Index for the COVID-19 Pandemic
Open accessAbstract
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.
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Cites
Econometric Analysis of Panel Data
Baltagi, B. H. (2021) · Springer Texts in Business and Economics · doi:10.1007/978-3-030-53953-5 · Cited by 15,104
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
GLOSTEN, L. R., JAGANNATHAN, R., & RUNKLE, D. E. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb05128.x · Cited by 9,008
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Hsiao, C. (2022) · doi:10.1017/9781009057745 · Cited by 7,869
A Simple Model of Capital Market Equilibrium with Incomplete Information
MERTON, R. C. (1987) · The Journal of Finance · doi:10.1111/j.1540-6261.1987.tb04565.x · Cited by 5,811
Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework
Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014) · Festschrift in Honor of Peter Schmidt · doi:10.1007/978-1-4899-8008-3_9 · Cited by 3,835
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Predicting excess stock returns out of sample: Can anything beat the historical average?
Campbell, J. Y., & Thompson, S. B. (2008) · Review of Financial Studies · doi:10.1093/rfs/hhm055 · Cited by 2,919
The journal of financial economics
Schwert, G. W. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90012-z · Cited by 2,542
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Cited by
The economics of COVID-19 pandemic: A survey
Padhan, R., & Prabheesh, K. P. (2021) · Economic Analysis and Policy · doi:10.1016/j.eap.2021.02.012 · Cited by 422
Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic
Yarovaya, L., Brzeszczyński, J., Goodell, J. W., Lucey, B., & Lau, C. K. M. (2022) · Journal of International Financial Markets, Institutions and Money · doi:10.1016/j.intfin.2022.101589 · Cited by 267
COVID-19 and the Oil Price – Stock Market Nexus: Evidence From Net Oil-Importing Countries
Prabheesh, K. P., Padhan, R., & Garg, B. (2020) · Energy RESEARCH LETTERS · doi:10.46557/001c.13745 · Cited by 245
Metadata
- Authors
- Salisu, A. A., & Akanni, L. O.
- Venue
- Emerging Markets Finance and Trade
- Publisher
- Informa UK Limited
- Published
- 2020-07-25
- Volume
- 56
- Issue
- 10
- Pages
- 2310-2331
- ISSN
- 1061-2009 (ISSN-L)
- 1540-496X
- 1558-0938
- OpenAlex
- W3044767998
- Cited by
- 265
- References
- 49
- FWCI
- 46.19
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
