Investor Sentiment and Volatility Prediction of Currencies and Commodities During the COVID-19 Pandemic

Thi Hong Van Hoang and Qasim Raza Syed ()
Additional contact information
Qasim Raza Syed: Montpellier Business School, 2300 avenue des Moulins, Montpellier, France

Asian Economics Letters, 2021, vol. 1, issue 4, 1-6

Abstract: In this note, we examine whether the volatility predictive power of investor sentiment for currencies and commodities is sensitive to the COVID-19 pandemic. The Credit Suisse Fear Barometer (CSFB) and the VIX are used to measure investor sentiment. The volatility of seven major currencies, gold, and oil is investigated. Using daily data from 2005 to 2020, we show that VIX is a better predictor than CSFB. However, they have no predictive power during the COVID-19 pandemic period. This may be attributed to the different nature of fear sentiment during the crisis.

Keywords: gfc; commodities; currencies; volatility prediction; investor sentiment; covid-19 (search for similar items in EconPapers)
JEL-codes: F31 I1 Q02 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
https://a-e-l.scholasticahq.com/api/v1/articles/18 ... ovid-19-pandemic.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ayb:jrnael:25

Access Statistics for this article

Asian Economics Letters is currently edited by Chun-Ping Chang (Shih Chien University, Taiwan) and Professor Chien-Chiang Lee (Nanchang University, China)

More articles in Asian Economics Letters from Asia-Pacific Applied Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by Asia-Pacific Applied Economics Association ().