摘要：This paper explores price spillover effects around the COVID-19 pandemic market meltdown between the SP 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 SP 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, SP 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 SP 500 returns in the market recovery.
