Template-Type: ReDIF-Article 1.0 
Author-Name: Thi Hong Van Hoang
Author-Name:   Qasim Raza Syed
Author-Email:  thv.hoang@montpellier-bs.com
Author-Workplace-Name:  Montpellier Business School, 2300 avenue des Moulins, Montpellier, France
Title: Investor Sentiment and Volatility Prediction of Currencies and Commodities During the COVID-19 Pandemic
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.
Classification-JEL:  F31,Q02 ,I1
Keywords:  gfc, commodities, currencies, volatility prediction, investor sentiment, covid-19
Journal:  Asian Economics Letters
Pages: 1-6
Volume: 1
Issue: 4
Year:  2021
DOI:  2021/08/10
File-URL:  https://a-e-l.scholasticahq.com/api/v1/articles/18642-investor-sentiment-and-volatility-prediction-of-currencies-and-commodities-during-the-covid-19-pandemic.pdf
File-Format:  Application/pdf
Handle:  RePEc:ayb:jrnael:25