Analysis of Stock Indices during the SVB Bank Run in March 2023 based on Sentiment Analysis

Andreea-Madalina Bozagiu and Zorina Alliata
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Andreea-Madalina Bozagiu: Bucharest University of Economic Studies, Bucharest, Romania
Zorina Alliata: Bucharest University of Economic Studies, Bucharest, Romania

PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON ECONOMICS AND SOCIAL SCIENCES, 2024, vol. 6, issue 1, 759-771

Abstract: This paper examines the Silicon Valley Bank (SVB) bank run event on March 9, 2023, and seeks to contribute to the understanding of market dynamics during this crisis. The bank run was unique and chilling because of two factors: first, the event was amplified by widespread panic on Twitter following a message by Peter Thiel, a renowned technology entrepreneur; and second, the speed of withdrawals was unprecedented because of the power of social media and the technology that allowed quick reactions. In this paper, we start by examining the market volatility and the impact of the SVB crisis on key indices in the United States and Europe. Then, we analyse the Twitter activity and the corresponding sentiment that emerged throughout the event. Our data indicates that Twitter sentiment accurately mirrored the market's fluctuation and volatility. Moreover, employing readily available Large Language Models (LLMs) for sentiment analysis can potentially serve as an early indicator of market shifts and provide a cautionary signal in the event of a similar occurrence in the future.

Keywords: Bank Run; Stock Indices; GARCH Volatility; Artificial Intelligence; Sentiment Analysis; Social Media Influence. (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:rom:conase:v:6:y:2024:i:1:p:759-771

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