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We explore the predictive value of the various indices developed to capture COVID-19 pandemic for daily stock return predictability of 24 Emerging Market economies (based on data availability). We identify eight measures of COVID-19 indices, namely, the uncertainty due to pandemics and epidemics ( UPE ) index, Global Fear Index ( GFI ), COVID index, vaccine index, medical index, travel index, uncertainty index and aggregate COVID-19 sentiment index. We find that, out of the considered measures, the  GFI  consistently offers the best out-of-sample forecast gains followed by the aggregate COVID-19 sentiment index while the UPE index offers the least predictability gains. The outcome generally improves after controlling for oil price but the ranking of forecast performance remains the same and robust to multiple forecast horizons and alternative forecast evaluation methods. We infer that the relative predictive powers of the indices are proportional to the extent to which the indices truly measure the pandemic.

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