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

Author

Listed:
  • Camillo Lento

    (Faculty of Business Administration, Lakehead University, 955 Oliver Road, Thunder Bay, ON P7B 5E1, Canada)

  • Nikola Gradojevic

    (Department 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.

Suggested Citation

  • Camillo Lento & Nikola Gradojevic, 2021. "S&P 500 Index Price Spillovers around the COVID-19 Market Meltdown," JRFM, MDPI, vol. 14(7), pages 1-13, July.
    • Handle: RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:330-:d:595312
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    1. Constantin Anghelache & Mădălina-Gabriela Anghel & Ștefan Virgil Iacob & Mirela Panait & Irina Gabriela Rădulescu & Alina Gabriela Brezoi & Adrian Miron, 2022. "The Effects of Health Crisis on Economic Growth, Health and Movement of Population," Sustainability, MDPI, vol. 14(8), pages 1-22, April.
    2. Federico Mecchia & Marcellino Gaudenzi, 2022. "The dynamics of the prices of the companies of the STOXX Europe 600 Index through the logit model and neural network," Papers 2206.09899, arXiv.org.
    3. Chen, Song Xi & Guo, Bin & Qiu, Yumou, 2023. "Testing and signal identification for two-sample high-dimensional covariances via multi-level thresholding," Journal of Econometrics, Elsevier, vol. 235(2), pages 1337-1354.
    4. Hakan Yilmazkuday, 2023. "COVID-19 effects on the S&P 500 index," Applied Economics Letters, Taylor & Francis Journals, vol. 30(1), pages 7-13, January.
    5. Camillo Lento & Nikola Gradojevic, 2022. "The Profitability of Technical Analysis during the COVID-19 Market Meltdown," JRFM, MDPI, vol. 15(5), pages 1-19, April.

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