Fear Estimation–Evidence from BRICS and UK

The paper aims to build a composite Fear Index for the BRICS countries and UK by adding new dimensions to the initial structure, such as overbought/oversold conditions and commodity impacts. The main purpose is to identify the degree in which fear really percolates down to all the market participants, respectively if this generates a certain asset transfer to Gold. The results point out the GMM model as the best fit for explaining the link between the Fear Index and the behaviour of market participants. It also confirms the transfer of assets to a safer asset class during the phases of high volatility on the market