A cointegrating relationship between the COVID-19 global fear index and stock returns

Researchers in Fiji have used the recently developed COVID-19 based global “fear index” to investigate the impact of the pandemic on nine major Asia-Pacific countries, specifically: Australia, China, Hong Kong, India, Japan, Malaysia, Singapore, Taiwan, and Thailand. The results for the period February 2020, just before the WHO declaration of the pandemic status of the disease, to November 2020 are discussed in the International Journal of Monetary Economics and Finance.

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