The CNN Fear and Greed Index as a predictor of US equity index returns: Static and time-varying Granger causality

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dc.check.date2026-12-01en
dc.check.infoAccess to this article is restricted until 24 months after publication by request of the publisheren
dc.contributor.authorFarrell, Hughen
dc.contributor.authorO'Connor, Fergalen
dc.date.accessioned2024-12-18T10:10:40Z
dc.date.available2024-12-18T10:10:40Z
dc.date.issued2024-12-01en
dc.description.abstractWe assess whether the CNN “Fear and Greed” Index can be used to predict returns on equity indices and gold. Using static tests, we find that the Fear and Greed Index Granger causes returns on the S&P 500, Nasdaq Composite and Russell 3000 indices in the first sample period (2011–2020), but not gold returns. Analysis from 2021 to 2024 indicates the Fear and Greed index Granger causes S&P 500 and Nasdaq Composite returns, but the relationship is considerably weaker. Using dynamic tests from Shi et al. (2020) we that show that these results may be driven by a stronger relationship existing pre-2014.en
dc.description.statusPeer revieweden
dc.description.versionAccepted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.articleid106492en
dc.identifier.citationFarrell, H. and O'Connor, F. (2024) 'The CNN Fear and Greed Index as a predictor of US equity index returns: Static and time-varying Granger causality', Finance Research Letters, 72, 106492 (7pp). https://doi.org/10.1016/j.frl.2024.106492en
dc.identifier.doihttps://doi.org/10.1016/j.frl.2024.106492en
dc.identifier.endpage7en
dc.identifier.issn1544-6123en
dc.identifier.journaltitleFinance Research Lettersen
dc.identifier.startpage1en
dc.identifier.urihttps://hdl.handle.net/10468/16731
dc.identifier.volume72en
dc.language.isoenen
dc.publisherElsevier Inc.en
dc.relation.ispartofFinance Research Lettersen
dc.rights© 2024, Elsevier Inc. All rights are reserved, including those for text and data mining, AI training, and similar technologies. This manuscript version is made available under the CC BY-NC-ND 4.0 license.en
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/en
dc.subjectFear and Greeden
dc.subjectGranger causalityen
dc.subjectEquity indicesen
dc.subjectTime-varying Granger causalityen
dc.subjectGolden
dc.titleThe CNN Fear and Greed Index as a predictor of US equity index returns: Static and time-varying Granger causalityen
dc.typeArticle (peer-reviewed)en
oaire.citation.volume72en
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