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.

中文翻译：

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围绕 COVID-19 市场崩盘的标准普尔 500 指数价格溢出效应

本文探讨了围绕标准普尔 500 指数、其他五个金融市场和 VIX 之间的 COVID-19 大流行市场崩溃的价格溢出效应。2020 年 1 月至 5 月时间段内的频域因果关系是根据高频数据集以 5 分钟为间隔估算的。结果显示，标准普尔 500 指数的价格变动通常会在市场崩盘前引起其他金融市场的价格变动；然而，在市场崩盘期间出现了大量的双向因果关系。在市场复苏期间，标准普尔 500 指数的价格变动更有可能是由其他金融市场的价格变动引起的。在市场复苏中，VIX、汇率和黄金回报对标普500指数回报的影响最为显着。