The Link between Asset Value and Fear Sentiment during Covid-19 Pandemic

Abstract

This article explores the role of global financial instruments as hedging or safe-haven assets in the Covid-19 pandemic crisis, which has weakened the global economy, by linking it to the investor's fear sentiment perspective. Correspondingly, it analyses the effects of shocks in the VIX index, which represents the global investor's fear sentiment, on shocks in some investment assets during the ongoing pandemic. Eight major fmancial instruments from different asset classes are tested along with the VIX index to achieve this goal. The analysis covers a 156-week time series and assays the variables from symmetric and intertemporal perspectives. The fmdings show that the most robust asset is the American Dollar fiat currency, followed partly by the Euro and gold. BTC also has been safe for a short time.