ABSTRACT

We explore the predictive value of the various indices developed to capture COVID-19 pandemic for daily stock return predictability of 24 Emerging Market economies (based on data availability). We identify eight measures of COVID-19 indices, namely, the uncertainty due to pandemics and epidemics (UPE) index, Global Fear Index (GFI), COVID index, vaccine index, medical index, travel index, uncertainty index and aggregate COVID-19 sentiment index. We find that, out of the considered measures, the GFI consistently offers the best out-of-sample forecast gains followed by the aggregate COVID-19 sentiment index while the UPE index offers the least predictability gains. The outcome generally improves after controlling for oil price but the ranking of forecast performance remains the same and robust to multiple forecast horizons and alternative forecast evaluation methods. We infer that the relative predictive powers of the indices are proportional to the extent to which the indices truly measure the pandemic.

摘要

我们探讨了为捕捉 COVID-19 大流行而开发的各种指数对 24 个新兴市场经济体每日股票收益可预测性的预测价值（基于数据可用性）。我们确定了 COVID-19 指数的八项衡量指标，即大流行和流行病引起的不确定性 ( UPE ) 指数、全球恐惧指数 ( GFI )、COVID 指数、疫苗指数、医疗指数、旅行指数、不确定性指数和 COVID-19 总量情绪指数。我们发现，在考虑的措施中，GFI始终提供最佳的样本外预测收益，其次是总体 COVID-19 情绪指数，而 UPE 指数提供的可预测性收益最少。在控制油价后，结果总体上有所改善，但预测性能排名保持不变，并且对多个预测范围和替代预测评估方法具有鲁棒性。我们推断指数的相对预测能力与指数真正衡量大流行的程度成正比。