@oli5678,
That is a slang term
"Hair standing on ends"
Like the slang term
"Yellow-bellied, flim-flamer, kangusmangus, coward"
The term "Yellow" means to slow down and be gripped with fear.
Yellow is often used in paintings of the past to depict a foolish ( stupid ) uneducated, character. This was before and prior to the religious movements where Yellow in a painting usually depicted a "Holy" ( High among high figure ) AKA "Blessed Fool" AKA "Saint"
Again it also as somebody said "surprise".