Read through the literature on thigmotaxis. If you run an open field test, sedate animals will exhibit decreased distance traveled compared to control. Anxious animals will spend an increased amount of time near the edges of the walls compared to controls.
Elevated plus maze has been highly regarded for measurement of the efficacy of anxiolytic compounds. On an elevated plus maze, I would expect sedation to decrease total crossings (open or closed arms) whereas an anxiolytic effect would inicrease the proportion of open arm to closed arm entries.
Michelle is right that sedative drugs will decrease total crossings. You can see this already when you use high doses of Diazepam for example, a known anxiolytic, but with additional muscle-relaxing properties.Thus, a drug can have both anxiolytic and sedative effects.
I would first run an Elevated Plus Maze or Light-Dark box for the anxiety-like behavior. Then, to see whether your drug has sedative properties that may confound the results found on the EPM I would also run them on the open field (take total locomotor activity).
I found that measurements in the open field do not correlate so well with those on the EPM and LD-box. Therefore you have less of an anxiety-confound in the open field as compared to the EPM for example.