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Article

S&P 500 Index Price Spillovers around the COVID-19 Market Meltdown

by
Camillo Lento
1,* and
Nikola Gradojevic
2
1
Faculty of Business Administration, Lakehead University, 955 Oliver Road, Thunder Bay, ON P7B 5E1, Canada
2
Department of Economics and Finance, Lang School of Business and Economics, University of Guelph, 50 Stone Road East, Guelph, ON N1G 2W1, Canada
*
Author to whom correspondence should be addressed.
J. Risk Financ. Manag. 2021, 14(7), 330; https://doi.org/10.3390/jrfm14070330
Submission received: 19 June 2021 / Revised: 12 July 2021 / Accepted: 13 July 2021 / Published: 16 July 2021
(This article belongs to the Special Issue The Impact of COVID-19 on Financial Markets)
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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.
Keywords: frequency domain causality; COVID-19 pandemic; spillover effects; 2020 market crash; LASSO frequency domain causality; COVID-19 pandemic; spillover effects; 2020 market crash; LASSO

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MDPI and ACS Style

Lento, C.; Gradojevic, N. S&P 500 Index Price Spillovers around the COVID-19 Market Meltdown. J. Risk Financ. Manag. 2021, 14, 330. https://doi.org/10.3390/jrfm14070330

AMA Style

Lento C, Gradojevic N. S&P 500 Index Price Spillovers around the COVID-19 Market Meltdown. Journal of Risk and Financial Management. 2021; 14(7):330. https://doi.org/10.3390/jrfm14070330

Chicago/Turabian Style

Lento, Camillo, and Nikola Gradojevic. 2021. "S&P 500 Index Price Spillovers around the COVID-19 Market Meltdown" Journal of Risk and Financial Management 14, no. 7: 330. https://doi.org/10.3390/jrfm14070330

APA Style

Lento, C., & Gradojevic, N. (2021). S&P 500 Index Price Spillovers around the COVID-19 Market Meltdown. Journal of Risk and Financial Management, 14(7), 330. https://doi.org/10.3390/jrfm14070330

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