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Public attention, sentiment and the default of Silicon Valley Bank

Stephan Bales and Hans-Peter Burghof

The North American Journal of Economics and Finance, 2024, vol. 69, issue PA

Abstract: We assess the interplay between public attention and trading of the Silicon Valley Bank (SVB) stock before its default on March 10, 2023. Based on intra-day data in 15-min intervals, we estimate SVB market excess returns and match these with intra-day measures of investor attention based on the relative number of tweets and Google searches. Wavelet analysis reveals bilateral lead–lag patterns between both series and demonstrates that a higher level of attention led to a significant decrease in SVB returns. Thereby, the results provide evidence that Twitter sentiment and media attention ultimately fueled and accelerated the crash dynamics of Silicon Valley Bank. Economically, Twitter provides information at lower costs and higher effectiveness than newspapers and allows direct communication without potential distortions from media bias or timing lags in reporting. Hence, individuals can coordinate and communicate their run beliefs at a much faster pace, emphasizing the importance for financial stability.

Keywords: Attention; Sentiment; Silicon valley bank; Investor behavior; Bank run; Twitter (search for similar items in EconPapers)
JEL-codes: G12 G14 G21 G41 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001493

DOI: 10.1016/j.najef.2023.102026

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