Table 7.

The sequential lagged terms of feverish and its predictive power on stock market return.

Variables	The dependent variable is the FTSE All-World return
	Model (1)	Model (2)	Model (3)	Model (4)	Model (5)	Model (6)	Model (7)	Model (8)
$\Delta$TF Connectedness	-0.417***	-0.364***	-0.430***	-0.378***	-0.435***	-0.371***	-0.441***	-0.379***
	[-0.128]	[-0.119]	[-0.129]	[-0.12]	[-0.131]	[-0.125]	[-0.129]	[-0.121]
$\Delta$TF Connectedness${}_{(t-1)}$			0.118	0.124	0.126	0.116	0.105	0.098
			[-0.129]	[-0.12]	[0.131]	[-0.121]	[-0.131]	[-0.121]
$\Delta$TF Connectedness${}_{(t-2)}$					-0.06	0.07	-0.027	0.096
					[-0.131]	[-0.123]	[-0.131]	[-0.122]
$\Delta$TF Connectedness${}_{(t-3)}$							-0.289**	-0.243**
							[-0.13]	[-0.121]
Constant	0.001	0.001	0.001	0.001	0.001	0.001	0.001	0.001
	[-0.001]	[-0.001]	[-0.001]	[-0.001]	[-0.001]	[-0.001]	[-0.001]	[-0.001]
Control variables	NO	YES	NO	YES	NO	YES	NO	YES
R-squared	0.04	0.18	0.04	0.18	0.04	0.19	0.05	0.20

Notes: *, **, and *** indicate 10%, 5%, and 1% significance level. Standard errors are reported in parentheses. Model (1), (3), (5) and (7) report the baseline model without any control variables while the remaining models included the other determinants to reduce the omitted factors. We use the FTSE All-World as a proxy of the common stock market. We also used MSCI-World as a stock market proxy. The results are qualitatively the same. $\Delta$ denotes the change (first-difference) of TCI Fear index. The list of control variables is calculated as the return for the iBoxx bond index, the gold prices, and the crude oil WTI prices.