Naslov (eng)

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

Autor

Lento, Camillo
Gradojevic, Nikola

Opis (eng)

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.

Jezik

engleski

Datum

2021-07-16

Licenca

Ovo delo je licencirano pod uslovima licence
Creative Commons CC BY 4.0 - Creative Commons Autorstvo 4.0 International License.

http://creativecommons.org/licenses/by/4.0/legalcode

Predmet

Keywords: frequency domain causality; COVID-19 pandemic; spillover effects; 2020 market crash; LASSO

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Radovi profesora i saradnika Fakulteta za ekonomiju i inženjerski menadžment