This paper explores the relationship between the stock markets of emerging and developed economies and the fear triggered by the COVID-19 pandemic crisis in a period that spans from mid-January 2020 to mid-February 2022. The potential relations are analyzed in terms of Granger causality and dynamic correlation, both from the view of raw undecomposed returns and different time-frequency decompositions derived from a previous wavelet transform screening approach. Overall, our Granger and dynamic correlation results suggest that changes in panic indexes resulting from the COVID-19 pandemic do not have a significant relation with the raw stock market returns, but the reverse occurs in terms of time-frequency decompositions. Correlation analysis also indicates that all countries have a quite similar pattern of phase transitions, with certain stages preceded by a hump and others by a valley, i.e., they exhibit both positive and negative correlations. Despite a gradual reduction in media coverage, both causal relationships and correlations between financial markets and panic indexes held in 2021 and early 2022.
