Note: this is one study based on two hypotheses and doesn’t indicate an absolute association for all cases and all groups of people.
Research by the Department of Psychology in Northumbria University has shown a link between those who experience ASMR (Autonomous Sensory Meridian Response) and higher levels of neuroticism, trait anxiety, and state anxiety.
Participants were split into two groups (those who experience ASMR—the tingles—and those who don’t) and scales for neuroticism, trait anxiety, and state anxiety were used for assessment. Each group was shown an ASMR video (by Cynthia Henry ASMR called ‘ASMR; 5 Minutes Quick Triggers Ep. 1‘) and they were asked a series of questions about how the video made them feel.
Spoiler alert – conclusion below (truncated for clarity):
The primary aim of the study was to investigate whether the ability to experience ASMR is associated with higher levels of neuroticism, trait anxiety, and state anxiety. The second aim was to identify whether watching ASMR videos helps reduce state anxiety in general, or whether any benefit was subject to actually experiencing the phenomenon. We also investigated whether any difference in personality characteristics between the groups could be mediating the difference in the impact of the video on state anxiety.
The results upheld our first hypothesis, that individuals who are able to experience ASMR have significantly greater neuroticism, state anxiety, and trait anxiety scores compared to non-experiencers. […] Neuroticism and trait anxiety are known to be strongly linked since neuroticism describes a predisposition to negative emotional states such as anxiety. Thus, the results here suggests that those with the ability to experience ASMR are more likely to experience negative emotional states and have a propensity for trait anxiety. […] The results also supported the second hypothesis, as only the ASMR-experiencers reported a decrease in state anxiety as a result of watching the ASMR video. This result was driven by significantly greater pre-video state anxiety in the ASMR-experiencer group compared to the non-experiencers. In contrast, there was no difference in pre- and post-video state anxiety in the non-experiencers group. This suggests that ASMR-experiencers also have greater predisposition for baseline state anxiety, which can be alleviated by watching ASMR videos.
You can read the paper on PLOS One (which I recommend you do to get a full understanding).