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

Thi Hong Van Hoang and Qasim Raza Syed ()
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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
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Asian Economics Letters is currently edited by Chun-Ping Chang (Shih Chien University, Taiwan) and Professor Chien-Chiang Lee (Nanchang University, China)

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