Investor market behavior is often filled with anxiety - the negative emotion from the anticipation of future risk, specifically downside risk. Anxiety will be displayed with the behavior of investors through their exposure to negative news. "Anxiety is the response to future uncertainty about payoffs in a risky asset, resulting in strategic uncertainty driven by multiple narratives", see "Anxiety, Investment Behavior and Asset Market Volatility".
Anxiety focuses on downside risks and its increases in magnitude and can be measured through news stories and survey information. These measures of risk, a focus on the downside, are different from economic policy uncertainty or uncertainty indices in general which serve as proxies for subjective uncertainty and not downside risks.
This research finds that there is a countercyclical relationship between anxiety and volatility. An increase in anxiety which driven by news of downside will be linked to lower volatility. Volatility and anxiety are not the same thing.
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