A high-frequency data dive into SVB collapse

David Y. Aharon

doi:10.1016/j.frl.2023.104823

A high-frequency data dive into SVB collapse

2024-01-01

12

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AI

DOI：10.1016/j.frl.2023.104823

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We revisit the collapse of Silicon Valley Bank (SVB) and examine its impact on the connectedness of major equity indices worldwide. Using high frequency data, we demonstrate that the USA transmits return spillovers to financial markets, especially in developing economies. The findings of our dynamic analysis indicate an increase in overall interconnectedness among financial markets following the collapse. However, this impact is short-lived. We also show that shortly after the collapse of SVB, the hedge ratios of the USA vs. other financial markets have been altered as did the corresponding optimal weights, requiring immediate portfolio rebalancing.

Keyword:

Connectedness

Equity markets

TVP-VAR

SVB

DCC-GARCH

Silicon Valley Bank

Bank failure

Hedge ratio

A high-frequency data dive into SVB collapse

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