A high-frequency data dive into SVB collapse

David Y. Aharon and Shoaib Ali

Finance Research Letters, 2024, vol. 59, issue C

Abstract: 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 (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 G2 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011959

DOI: 10.1016/j.frl.2023.104823

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