Out-of- Sample Stock Return Predictability of Alternative COVID-19 Indices

References

• Abuzayed, B., E. Bouri, N. Al-Fayoumi, and N. Jalkh. 2021. Systemic risk spillover across global and country stock markets during the COVID-19 pandemic. Economic Analysis and Policy 71:180–97. doi:10.1016/j.eap.2021.04.010.
   Web of Science ®Google Scholar
• Al-Awadhi, A. M., K. Al-Saifi, A. Al-Awadhi, and S. Alhamadi. 2020. Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance 27: 100326. https://doi.org/10.1016/j.jbef.2020.100326
   PubMed Web of Science ®Google Scholar
• Baker, S. R., N. Bloom, S. J. Davis, and S. J. Terry. 2020. COVID-induced economic uncertainty (No. w26983). National Bureau of Economic Research.
   Google Scholar
• Bannigidadmath, D., and P. Narayan. 2015. Stock return predictability and determinants of predictability and profits. Emerging Markets Review 26:153–73. doi:10.1016/j.ememar.2015.12.003.
   Web of Science ®Google Scholar
• Caldara, D., and M. Iacoviello. 2019. Measuring geopolitical risk. Working paper, Board of Governors of the Federal Reserve Board, December.
   Google Scholar
• Chudik, A., K. Mohaddes, M. H. Pesaran, and M. Raissi 2016. Long-Run Effects in Large Heterogeneous Panel Data Models with Cross-Sectionally Correlated Errors”. In Essays in Honor of man Ullah (Advances in Econometrics, Vol. 36, pp. 85–135. Bingley: Emerald Group Publishing Limited. doi:10.1108/S0731-905320160000036013.
   Google Scholar
• Chudik, A., and M. H. Pesaran. 2015. Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors. Journal of Econometrics 188 (2):393–420. doi:10.1016/j.jeconom.2015.03.007.
   Web of Science ®Google Scholar
• Clark, T. E., and M. W. McCracken. 2001. Tests of equal forecast accuracy and encompassing for nested models. Journal of Econometrics 105:85–110. doi:10.1016/S0304-4076(01)00071-9.
   Web of Science ®Google Scholar
• Clark, T. E., and K. D. West. 2006. Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis. Journal of Econometrics 135 (1–2):155–86. doi:10.1016/j.jeconom.2005.07.014.
   Web of Science ®Google Scholar
• Clark, T. E., and K. D. West. 2007. Approximately normal tests for equal predictive accuracy in nested models. Journal of Econometrics 138:291–311. doi:10.1016/j.jeconom.2006.05.023.
   Web of Science ®Google Scholar
• De Long, J. B., A. Shleifer, L. H. Summers, and R. J. Waldmann. 1990. Noise trader risk in financial markets. Journal of Political Economy 98:703–38. doi:10.1086/261703.
   Web of Science ®Google Scholar
• Deng, T., T. Xu, and Y. J. Lee. 2021. Policy responses to COVID-19 and stock market reactions - An international evidence. Journal of Economics and Business 119:106043. https://doi.org/10.1016/j.jeconbus.2021.106043
   PubMed Web of Science ®Google Scholar
• Devpura, N., P. K. Narayan, and S. S. Sharma. 2018. Is stock return predictability time varying? Journal of International Financial Markets, Institutions and Money 52:152–72. doi:10.1016/j.intfin.2017.06.001.
   Web of Science ®Google Scholar
• Li, Y., X. Zhuang, J. Wang, and Z. Dong. 2021. Analysis of the impact of COVID-19 pandemic on G20 stock markets. The North American Journal of Economics and Finance 58:101530. doi:10.1016/j.najef.2021.101530.
   Web of Science ®Google Scholar
• Liu, L., E.-Z. Wang, and -C.-C. Lee. 2020. Impact of the COVID-19 pandemic on the crude oil and stock markets in the US: A time-varying analysis. Energy Research Letters 1 (1). doi: 10.46557/001c.13154.
   Google Scholar
• Liu, Y., Y. Wei, Q. Wang, and Y. Liu. 2021. International stock market risk contagion during the COVID-19 pandemic. Finance Research Letters 45:102145. https://doi.org/10.1016/j.frl.2021.102145
   PubMed Web of Science ®Google Scholar
• Narayan, P. K. 2020a. Did Bubble Activity Intensify During COVID-19? Asian Economics Letters 1 (2). doi: 10.46557/001c.17654.
   Google Scholar
• Narayan, P. K. 2020b. Has COVID-19 Changed Exchange Rate Resistance to Shocks? Asian Economics Letters 1 (1). doi: 10.46557/001c.17389.
   Google Scholar
• Narayan, P. K., and D. Bannigidadmath. 2015. Are Indian stock returns predictable? Journal of Banking & Finance 58:506–31. doi:10.1016/j.jbankfin.2015.05.001.
   Web of Science ®Google Scholar
• Narayan, P. K., and R. Gupta. 2015. Has oil price predicted stock returns for over a century? Energy Economics 48:18–23. doi:10.1016/j.eneco.2014.11.018.
   Web of Science ®Google Scholar
• Narayan, P. K., B. N. Iyke, and S. S. Sharma. 2021. New measures of the COVID-19 pandemic: A new time-series dataset. Asian Economics Letters 2 (2). doi: 10.46557/001c.23491.
   Google Scholar
• Narayan, P. K., D. H. B. Phan, S. S. Sharma, and J. Westerlund. 2016. Are Islamic stock returns predictable? A global perspective. Pacific-Basin Finance Journal 40 (A):210–23. doi:10.1016/j.pacfin.2016.08.008.
   Google Scholar
• Narayan, P. K., and S. S. Sharma. 2014. Firm return volatility and economic gains: The role of oil prices. Economic Modelling 38:142–151.
   Web of Science ®Google Scholar
• Phan, D. H. B., and P. K. Narayan. 2020. Country responses and the reaction of the stock market to COVID-19—a Preliminary Exposition. Emerging Markets Finance and Trade 56 (10):2138–50. doi:10.1080/1540496X.2020.1784719.
   Web of Science ®Google Scholar
• Phan, D. H. B., S. S. Sharma, and P. K. Narayan. 2015. Stock return forecasting: Some new evidence. International Review of Financial Analysis 40:38–51, 276. doi:10.1016/j.irfa.2015.05.002.
   Web of Science ®Google Scholar
• Pincheira, P., N. Hardy, and F. Muñoz. 2021. “Go wild for a while!”: A new asymptotically normal test for forecast evaluation in nested models. Mathematics 9:2254. doi:10.3390/math9182254.
   Web of Science ®Google Scholar
• Rehman, M. U., S. H. Kang, N. Ahmad, and X. V. Vo. 2021. The impact of COVID-19 on the G7 stock markets: A time-frequency analysis. The North American Journal of Economics and Finance 58:101526. doi:10.1016/j.najef.2021.101526.
   Web of Science ®Google Scholar
• Salisu, A., and I. Adediran. 2020. Uncertainty due to infectious diseases and energy market volatility. Energy Research Letters 1 (2). doi:10.46557/001c.14185.
   Google Scholar
• Salisu, A. A., I. A. Adediran, and R. Gupta. 2021. A note on the COVID-19 shock and real GDP in emerging economies. Emerging Markets Finance and Trade. doi:10.1080/1540496X.2021.1981854.
   Web of Science ®Google Scholar
• Salisu, A. A., and L. O. Akanni. 2020. Constructing a global fear index for the COVID-19 pandemic. Emerging Markets Finance and Trade 56 (10):2310–31. doi:10.1080/1540496X.2020.1785424.
   Web of Science ®Google Scholar
• Salisu, A. A., L. Lasisi, and A. Olaniran. 2021. Do epidemics and pandemics have predictive content for exchange rate movements? Evidence for Asian Economies. Asian Economics Letters 2 (3). doi: 10.46557/001c.23423.
   Google Scholar
• Salisu, A. A., I. D. Raheem, and U. D. Ndako. 2019b. A sectoral analysis of asymmetric nexus between oil price and stock returns. International Review of Economics and Finance 61:241 259. doi:10.1016/j.iref.2019.02.005.
   Web of Science ®Google Scholar
• Salisu, A. A., and A. A. Sikiru. 2020. Pandemics and the Asia-Pacific Islamic stocks. Asian Economics Letters 1 (1). doi: 10.46557/001c.17413.
   Google Scholar
• Salisu, A. A., R. Swaray, and T. F. Oloko. 2019a. Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables. Economic Modelling 76:153–71. doi:10.1016/j.econmod.2018.07.029.
   Web of Science ®Google Scholar
• Salisu, A. A., and X. V. Vo. 2020. Predicting stock returns in the presence of COVID-19: The role of health news. International Review of Financial Analysis 71 (2020):101546. doi:10.1016/j.irfa.2020.101546.
   Google Scholar
• Samitas, A., E. Kampouris, and S. Polyzos. 2022. Covid-19 pandemic and spillover effects in stock markets: A financial network approach. International Review of Financial Analysis 80:102005. doi:10.1016/j.irfa.2021.102005.
   PubMed Web of Science ®Google Scholar
• Sharma, S. S. 2020. A note on the Asian market volatility during the COVID-19 pandemic. Asian Economics Letters 1 (2). doi: 10.46557/001c.17661.
   Google Scholar
• Smyth, R., and P. K. Narayan. 2018. What do we know about oil prices and stock returns? International Review of Financial Analysis 57:148–56. doi:10.1016/j.irfa.2018.03.010.
   Web of Science ®Google Scholar
• Wang, H., L. Xu, and S. S. Sharma. 2021. Does investor attention increase stock market volatility during the COVID-19 pandemic? Pacific-Basin Finance Journal 69:101638. doi:10.1016/j.pacfin.2021.101638.
   Web of Science ®Google Scholar
• Westerlund, J., and P. Narayan. 2016. Testing for predictability in panels of any time series dimension. International Journal of Forecasting 32 (4):1162–77. doi:10.1016/j.ijforecast.2016.02.009.
   Web of Science ®Google Scholar
• Xu, L. 2021. Stock return and the COVID-19 pandemic: Evidence from Canada and the US. Finance Research Letters 38:101872. doi:10.1016/j.frl.2020.101872.
   PubMed Web of Science ®Google Scholar
• Xu, D. 2022. Canadian stock market volatility under COVID-19. International Review of Economics & Finance 77:159–69. doi:10.1016/j.iref.2021.09.015.
   Web of Science ®Google Scholar
• Zehri, C. 2021. Stock market comovements: Evidence from the COVID-19 pandemic. The Journal of Economic Asymmetries 24:e00228. doi:10.1016/j.jeca.2021.e00228.
   PubMedGoogle Scholar
• Zhang, D., M. Hu, and Q. Ji. 2020. Financial markets under the global pandemic of COVID-19. Finance Research Letters 36 (2020):101528. doi:10.1016/j.frl.2020.101528.
   PubMedGoogle Scholar
• Zhang, J., Y. Lai, and J. Lin. 2017. The day-of-the-week effects of stock markets in different countries. Finance Research Letters 20:47–62. doi:10.1016/j.frl.2016.09.006.
   Web of Science ®Google Scholar