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

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