S&P 500 index price spillovers around the COVID-19 market meltdown

Artikel

This paper explores price spillover effects around the COVID-19 pandemic market meltdown between the S&P 500 index, five other financial markets, and the VIX. Frequency domain causalities are estimated for the January-May 2020 time period on a high-frequency data set at five-minute intervals. The results reveal that price movements in the S&P 500 generally caused price movements in other financial markets before the market meltdown; however, a large number of bi-directional causalities emerged during the market meltdown. During the market recovery, S&P 500 price movements were more likely to be caused by other financial markets' price movements. The VIX, exchange rate, and gold returns had the most prominent influence on the S&P 500 returns in the market recovery.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 7 ; Pages: 1-13 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft
• Subject: COVID-19 pandemic ; frequency domain causality ; LASSO ; spillover effects

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Lento, Camillo ; Gradojevic, Nikola
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2021

Further information

• DOI: doi:10.3390/jrfm14070330
• Handle: http://hdl.handle.net/10419/258434
• Last update: 10.03.2025, 11:44 AM CET