Journal of Risk and Financial Management volume: 14 number: 7 startpage: 330 endpage: 330 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. Lento, Camillo Gradojevic, Nikola S&P 500 Index Price Spillovers around the COVID-19 Market Meltdown http://creativecommons.org/licenses/by/4.0/legalcode Keywords: frequency domain causality; COVID-19 pandemic; spillover effects; 2020 market crash; LASSO info:eu-repo/semantics/article 2021-07-16 https://unilib.phaidrabg.rs/o:5713 doi:10.3390/jrfm14070330 application/pdf 1001932 bytes eng