S&P 500 Index Price Spillovers around the COVID-19 Market Meltdown(Article)(Open Access)
- aFaculty of Business Administration, Lakehead University, 955 Oliver Road, Thunder Bay, ON P7B 5E1, Canada
- bDepartment of Economics and Finance, Lang School of Business and Economics, University of Guelph, 50 Stone Road East, Guelph, ON N1G 2W1, Canada
Abstract
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. © 2021 by the authors.
- ISSN: 19118074
- Source Type: Journal
- Original language: English
- DOI: 10.3390/jrfm14070330
- Document Type: Article
- Publisher: Multidisciplinary Digital Publishing Institute (MDPI)
Lento, C.; Faculty of Business Administration, Lakehead University, 955 Oliver Road, Thunder Bay, ON, Canada;
© Copyright 2023 Elsevier B.V., All rights reserved.
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