High voltage AC water electrolysis not working

I was trying to use a $500~\mathrm V$ AC power supply to split water, but nothing happened. I tested everything with a $9~\mathrm V$ battery, and it all worked fine.

Why did it not work with the high voltage? (Do not worry, I was taking the proper precautions, such as insulation and three pairs of gloves, and I did not touch any live wires.)

Regardless: STOP USING $\mathbf{500V}$ FOR ELECTROCHEMISTRY EXPERIMENTS. It's way more potential than you need, and terrifically unsafe. In most cases, anything above $40~\mathrm V$ is overkill, and for most experiments that $9~\mathrm V$ battery you mentioned will more than suffice.