Salisu Afees A, Akanni Lateef, Raheem Ibrahim
Centre for Econometric & Allied Research, University of Ibadan, Nigeria.
Centre for the Study of the Economies of Africa, Abuja, Nigeria.
J Behav Exp Finance. 2020 Sep;27:100383. doi: 10.1016/j.jbef.2020.100383. Epub 2020 Jul 22.
In this paper, we subject the global fear index (GFI) for the COVID-19 pandemic to empirical scrutiny by examining its predictive power in the predictability of commodity price returns during the pandemic. One of the attractions to the index lies in its coverage as all the countries and by extension regions and territories in the world are considered in the construction of the index. Our results show evidence of a positive relationship between commodity price returns and the global fear index, confirming that commodity returns increase as COVID-19 related fear rises. By way of extension, we further establish that commodity market offers better safe-haven properties than the stock market given the negative association between GFI and the latter. Finally, the GFI series improves the forecast accuracy of the predictive model for commodity price returns and its forecast outcome outperforms the historical average (constant returns) model both for the in-sample and out-of-sample forecasts. Our results are robust to alternative measures of pandemics.
在本文中，我们通过考察新冠疫情期间全球恐惧指数（GFI）对大宗商品价格回报可预测性的预测能力，对该指数进行实证检验。该指数的一个吸引人之处在于其覆盖范围，因为在构建该指数时考虑了世界上所有国家以及由此延伸的地区和领土。我们的结果表明，大宗商品价格回报与全球恐惧指数之间存在正相关关系，证实了随着与新冠疫情相关的恐惧情绪上升，大宗商品回报也会增加。作为扩展，我们进一步确定，鉴于全球恐惧指数与股票市场之间存在负相关关系，大宗商品市场比股票市场具有更好的避险属性。最后，全球恐惧指数序列提高了大宗商品价格回报预测模型的预测准确性，并且其预测结果在样本内和样本外预测中均优于历史平均（恒定回报）模型。我们的结果对于疫情的替代衡量方法具有稳健性。
