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A high-frequency data dive into SVB collapse
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DOI：10.1016/j.frl.2023.104823.png)
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Abstract
En 中文
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.
Keywords:
Connectedness
Equity markets
TVP-VAR
SVB
DCC-GARCH
Silicon Valley Bank
Bank failure
Hedge ratio
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