S&P 500 Index Price Spillovers around the COVID-19 Market Meltdown
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. Th...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-07-01
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| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1911-8074/14/7/330 |