o:5713 S&P 500 Index Price Spillovers around the COVID-19 Market Meltdown en 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 1552099 10.3390/jrfm14070330 2024-10-16T10:57:33.487Z 44 yes 46 Camillo Lento Nikola Gradojevic Fakultet za ekonomiju i inženjerski menadžment u Novom Sadu person 0000-0003-4001-3159 2021 application/pdf 1001932 https://unilib.phaidrabg.rs/o:5713 no yes 16 70 1552253 2021-07-13 Journal of Risk and Financial Management 14 7 330 330 2021-07-16