Table A1 In-sample predictability (Brent...

Table A1

In-sample predictability (Brent as proxy for oil uncertainty)

Sample period	Model-1	Model-2		Model-3
Sample period	Stock market uncertainty	Stock market uncertainty	Oil (Brent) market uncertainty	Stock market uncertainty	Oil (Brent) market uncertainty	Other global uncertainties
Brazil
FULL	0.0005*** [0.0001]	0.0000 [0.0003]	0.0030*** [0.0004]	0.0009* [0.0005]	0.0044*** [0.0006]	0.0964*** [0.0064]
Pre-COVID	0.0071*** [0.0012]	0.0043*** [0.0011]	0.0153*** [0.0018]	0.0009*** [0.0002]	0.0154*** [0.0006]	0.2810*** [0.0063]
COVID	0.0057*** [0.0018]	0.0091* [0.0046]	0.0041*** [0.0010]	−0.0002 [0.0056]	0.0046*** [0.0007]	0.0741 [0.0591]
RUW	0.0829*** [0.0076]	0.1648*** [0.0343]	0.1438*** [0.0139]	0.1310*** [0.0220]	0.0346 [0.0261]	1.9378*** [0.5281]
China
FULL	0.0015 [0.0010]	0.0009 [0.0007]	0.0003*** [0.0001]	0.0014** [0.0006]	0.0003* [0.0002]	0.0394*** [0.0149]
Pre-COVID	0.0017* [0.0009]	0.0113*** [0.0021]	0.0064*** [0.0010]	0.0139*** [0.0015]	0.0058*** [0.0009]	0.2976*** [0.0068]
COVID	−0.0449*** [0.0047]	−0.0603*** [0.0053]	−0.0020*** [0.0001]	−0.0473*** [0.0034]	0.0003 [0.0003]	−0.4668*** [0.0267]
RUW	0.0154 [0.0131]	0.1377*** [0.0162]	−0.0292*** [0.0040]	0.1617*** [0.0353]	−0.0533*** [0.0145]	0.1540 [0.2228]
India
FULL	0.0041*** [0.0008]	0.0059*** [0.0011]	−0.0008** [0.0003]	0.0031*** [0.0005]	−0.0003 [0.0003]	0.0300*** [0.0035]
Pre-COVID	0.0026*** [0.0009]	0.0066*** [0.0015]	−0.0055*** [0.0003]	0.0099*** [0.0015]	−0.0065*** [0.0003]	0.1285*** [0.0126]
COVID	−0.0200 [0.0135]	0.0124 [0.0148]	−0.0015*** [0.0004]	−0.0528*** [0.0094]	−0.0004 [0.0010]	0.3872*** [0.0803]
RUW	−0.0627 [0.0738]	0.0822*** [0.0283]	0.0860*** [0.0055]	−0.0167 [0.0298]	0.0723*** [0.0050]	0.5149*** [0.1454]
Indonesia
FULL	0.5114*** [0.0201]	0.5205*** [0.0206]	0.0005*** [0.0002]	0.5151*** [0.0205]	0.0015*** [0.0003]	0.1983*** [0.0096]
Pre-COVID	0.5338*** [0.0275]	0.5354*** [0.0239]	0.0051*** [0.0011]	0.5383*** [0.0247]	0.0093*** [0.0023]	0.1022*** [0.0221]
COVID	0.4310*** [0.0383]	0.4240*** [0.0392]	0.0005 [0.0003]	0.4177*** [0.0360]	0.0004 [0.0004]	−0.1404** [0.0575]
RUW	0.3158*** [0.0300]	0.3587*** [0.0440]	0.0106 [0.0125]	0.1354*** [0.0421]	−0.0310*** [0.0047]	2.0389*** [0.1765]
Russia
FULL	0.0002 [0.0007]	−0.0004 [0.0011]	0.0010*** [0.0001]	−0.0002 [0.0007]	0.0009*** [0.0002]	0.0956*** [0.0038]
Pre-COVID	−0.0015** [0.0006]	0.0042*** [0.0014]	0.0010 [0.0014]	0.0007 [0.0015]	−0.0018* [0.0010]	0.2155*** [0.0045]
COVID	−0.0207 [0.0142]	−0.0956*** [0.0162]	0.0014*** [0.0002]	−0.0697*** [0.0157]	0.0015*** [0.0001]	−0.0897* [0.0522]
RUW	0.0529*** [0.0076]	0.0563*** [0.0063]	−0.0139*** [0.0024]	0.2312*** [0.0311]	−0.0365** [0.0141]	−5.4211*** [0.4801]
South Africa
FULL	0.0057*** [0.0004]	0.0068*** [0.0006]	0.0010*** [0.0003]	0.0055*** [0.0006]	0.0024*** [0.0004]	0.0564*** [0.0027]
Pre-COVID	0.0037*** [0.0012]	0.0063*** [0.0007]	−0.0035*** [0.0011]	0.0071*** [0.0009]	−0.0079*** [0.0014]	0.0270*** [0.0085]
COVID	0.0448*** [0.0053]	0.0212*** [0.0070]	0.0030*** [0.0011]	0.1046*** [0.0075]	0.0020** [0.0010]	−0.6440*** [0.0331]
RUW	0.0134 [0.0138]	0.0810*** [0.0179]	0.0020 [0.0032]	0.1109*** [0.0316]	−0.0241*** [0.0044]	0.8672*** [0.1227]
South Korea
FULL	0.0233*** [0.0019]	0.0370*** [0.0021]	−0.0024*** [0.0005]	0.0405*** [0.0013]	−0.0021*** [0.0007]	0.0660*** [0.0063]
Pre-COVID	0.0325*** [0.0021]	0.0184*** [0.0038]	0.0125*** [0.0029]	0.0308* [0.0167]	0.0121 [0.0132]	0.0430 [0.1464]
COVID	0.0356*** [0.0016]	0.0568*** [0.0019]	−0.0020*** [0.0002]	0.0569*** [0.0040]	−0.0003 [0.0003]	−0.3741*** [0.0148]
RUW	0.0031 [0.0133]	0.0045 [0.0200]	0.0256** [0.0096]	−0.0297 [0.0225]	0.0059 [0.0066]	0.5391*** [0.1744]
Turkey
FULL	−0.0097*** [0.0005]	−0.0112*** [0.0010]	0.0032*** [0.0004]	−0.0135*** [0.0004]	0.0026*** [0.0001]	0.1656*** [0.0069]
Pre-COVID	−0.0057** [0.0028]	−0.0049*** [0.0002]	0.0056*** [0.0004]	−0.0020** [0.0009]	0.0083*** [0.0005]	−0.2556*** [0.0111]
COVID	−0.0070 [0.0069]	−0.0240*** [0.0088]	0.0018*** [0.0004]	−0.0435*** [0.0045]	0.0016*** [0.0002]	0.3464*** [0.0293]
RUW	0.1038*** [0.0111]	0.1340*** [0.0119]	0.0235*** [0.0042]	0.1360*** [0.0260]	0.0193** [0.0085]	−0.7501*** [0.1843]
Vietnam
FULL	0.0499*** [0.0128]	0.0493*** [0.0141]	0.0000 [0.0003]	0.0250*** [0.0033]	0.0003*** [0.0001]	0.0083* [0.0050]
Pre-COVID	0.1137*** [0.0170]	0.0914*** [0.0154]	0.0088 [0.0067]	0.0290*** [0.0047]	0.0127*** [0.0015]	0.0141** [0.0063]
COVID	0.0393*** [0.0081]	0.0508*** [0.0065]	0.0001*** [0.0000]	0.0381*** [0.0022]	0.0035*** [0.0004]	−0.5115*** [0.0331]
RUW	0.0807*** [0.0122]	0.0908*** [0.0107]	−0.0677*** [0.0032]	0.0912*** [0.0125]	−0.0730*** [0.0019]	0.6002*** [0.0427]

Sample period	Model-1	Model-2		Model-3
Sample period	Stock market uncertainty	Stock market uncertainty	Oil (Brent) market uncertainty	Stock market uncertainty	Oil (Brent) market uncertainty	Other global uncertainties
Brazil
FULL	0.0005*** [0.0001]	0.0000 [0.0003]	0.0030*** [0.0004]	0.0009* [0.0005]	0.0044*** [0.0006]	0.0964*** [0.0064]
Pre-COVID	0.0071*** [0.0012]	0.0043*** [0.0011]	0.0153*** [0.0018]	0.0009*** [0.0002]	0.0154*** [0.0006]	0.2810*** [0.0063]
COVID	0.0057*** [0.0018]	0.0091* [0.0046]	0.0041*** [0.0010]	−0.0002 [0.0056]	0.0046*** [0.0007]	0.0741 [0.0591]
RUW	0.0829*** [0.0076]	0.1648*** [0.0343]	0.1438*** [0.0139]	0.1310*** [0.0220]	0.0346 [0.0261]	1.9378*** [0.5281]
China
FULL	0.0015 [0.0010]	0.0009 [0.0007]	0.0003*** [0.0001]	0.0014** [0.0006]	0.0003* [0.0002]	0.0394*** [0.0149]
Pre-COVID	0.0017* [0.0009]	0.0113*** [0.0021]	0.0064*** [0.0010]	0.0139*** [0.0015]	0.0058*** [0.0009]	0.2976*** [0.0068]
COVID	−0.0449*** [0.0047]	−0.0603*** [0.0053]	−0.0020*** [0.0001]	−0.0473*** [0.0034]	0.0003 [0.0003]	−0.4668*** [0.0267]
RUW	0.0154 [0.0131]	0.1377*** [0.0162]	−0.0292*** [0.0040]	0.1617*** [0.0353]	−0.0533*** [0.0145]	0.1540 [0.2228]
India
FULL	0.0041*** [0.0008]	0.0059*** [0.0011]	−0.0008** [0.0003]	0.0031*** [0.0005]	−0.0003 [0.0003]	0.0300*** [0.0035]
Pre-COVID	0.0026*** [0.0009]	0.0066*** [0.0015]	−0.0055*** [0.0003]	0.0099*** [0.0015]	−0.0065*** [0.0003]	0.1285*** [0.0126]
COVID	−0.0200 [0.0135]	0.0124 [0.0148]	−0.0015*** [0.0004]	−0.0528*** [0.0094]	−0.0004 [0.0010]	0.3872*** [0.0803]
RUW	−0.0627 [0.0738]	0.0822*** [0.0283]	0.0860*** [0.0055]	−0.0167 [0.0298]	0.0723*** [0.0050]	0.5149*** [0.1454]
Indonesia
FULL	0.5114*** [0.0201]	0.5205*** [0.0206]	0.0005*** [0.0002]	0.5151*** [0.0205]	0.0015*** [0.0003]	0.1983*** [0.0096]
Pre-COVID	0.5338*** [0.0275]	0.5354*** [0.0239]	0.0051*** [0.0011]	0.5383*** [0.0247]	0.0093*** [0.0023]	0.1022*** [0.0221]
COVID	0.4310*** [0.0383]	0.4240*** [0.0392]	0.0005 [0.0003]	0.4177*** [0.0360]	0.0004 [0.0004]	−0.1404** [0.0575]
RUW	0.3158*** [0.0300]	0.3587*** [0.0440]	0.0106 [0.0125]	0.1354*** [0.0421]	−0.0310*** [0.0047]	2.0389*** [0.1765]
Russia
FULL	0.0002 [0.0007]	−0.0004 [0.0011]	0.0010*** [0.0001]	−0.0002 [0.0007]	0.0009*** [0.0002]	0.0956*** [0.0038]
Pre-COVID	−0.0015** [0.0006]	0.0042*** [0.0014]	0.0010 [0.0014]	0.0007 [0.0015]	−0.0018* [0.0010]	0.2155*** [0.0045]
COVID	−0.0207 [0.0142]	−0.0956*** [0.0162]	0.0014*** [0.0002]	−0.0697*** [0.0157]	0.0015*** [0.0001]	−0.0897* [0.0522]
RUW	0.0529*** [0.0076]	0.0563*** [0.0063]	−0.0139*** [0.0024]	0.2312*** [0.0311]	−0.0365** [0.0141]	−5.4211*** [0.4801]
South Africa
FULL	0.0057*** [0.0004]	0.0068*** [0.0006]	0.0010*** [0.0003]	0.0055*** [0.0006]	0.0024*** [0.0004]	0.0564*** [0.0027]
Pre-COVID	0.0037*** [0.0012]	0.0063*** [0.0007]	−0.0035*** [0.0011]	0.0071*** [0.0009]	−0.0079*** [0.0014]	0.0270*** [0.0085]
COVID	0.0448*** [0.0053]	0.0212*** [0.0070]	0.0030*** [0.0011]	0.1046*** [0.0075]	0.0020** [0.0010]	−0.6440*** [0.0331]
RUW	0.0134 [0.0138]	0.0810*** [0.0179]	0.0020 [0.0032]	0.1109*** [0.0316]	−0.0241*** [0.0044]	0.8672*** [0.1227]
South Korea
FULL	0.0233*** [0.0019]	0.0370*** [0.0021]	−0.0024*** [0.0005]	0.0405*** [0.0013]	−0.0021*** [0.0007]	0.0660*** [0.0063]
Pre-COVID	0.0325*** [0.0021]	0.0184*** [0.0038]	0.0125*** [0.0029]	0.0308* [0.0167]	0.0121 [0.0132]	0.0430 [0.1464]
COVID	0.0356*** [0.0016]	0.0568*** [0.0019]	−0.0020*** [0.0002]	0.0569*** [0.0040]	−0.0003 [0.0003]	−0.3741*** [0.0148]
RUW	0.0031 [0.0133]	0.0045 [0.0200]	0.0256** [0.0096]	−0.0297 [0.0225]	0.0059 [0.0066]	0.5391*** [0.1744]
Turkey
FULL	−0.0097*** [0.0005]	−0.0112*** [0.0010]	0.0032*** [0.0004]	−0.0135*** [0.0004]	0.0026*** [0.0001]	0.1656*** [0.0069]
Pre-COVID	−0.0057** [0.0028]	−0.0049*** [0.0002]	0.0056*** [0.0004]	−0.0020** [0.0009]	0.0083*** [0.0005]	−0.2556*** [0.0111]
COVID	−0.0070 [0.0069]	−0.0240*** [0.0088]	0.0018*** [0.0004]	−0.0435*** [0.0045]	0.0016*** [0.0002]	0.3464*** [0.0293]
RUW	0.1038*** [0.0111]	0.1340*** [0.0119]	0.0235*** [0.0042]	0.1360*** [0.0260]	0.0193** [0.0085]	−0.7501*** [0.1843]
Vietnam
FULL	0.0499*** [0.0128]	0.0493*** [0.0141]	0.0000 [0.0003]	0.0250*** [0.0033]	0.0003*** [0.0001]	0.0083* [0.0050]
Pre-COVID	0.1137*** [0.0170]	0.0914*** [0.0154]	0.0088 [0.0067]	0.0290*** [0.0047]	0.0127*** [0.0015]	0.0141** [0.0063]
COVID	0.0393*** [0.0081]	0.0508*** [0.0065]	0.0001*** [0.0000]	0.0381*** [0.0022]	0.0035*** [0.0004]	−0.5115*** [0.0331]
RUW	0.0807*** [0.0122]	0.0908*** [0.0107]	−0.0677*** [0.0032]	0.0912*** [0.0125]	−0.0730*** [0.0019]	0.6002*** [0.0427]

Note(s): The figures in each cell are the estimated coefficient with their corresponding standard errors in square brackets. The ^***, ^** and ^* denote statistical significance at 1%, 5% and 10%, respectively

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