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A high-frequency data dive into SVB collapse

Author

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  • Aharon, David Y.
  • Ali, Shoaib

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.

Suggested Citation

  • Aharon, David Y. & Ali, Shoaib, 2024. "A high-frequency data dive into SVB collapse," Finance Research Letters, Elsevier, vol. 59(C).
    • Handle: RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011959
    DOI: 10.1016/j.frl.2023.104823
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    More about this item

    Keywords

    Connectedness; Equity markets; TVP-VAR; SVB; DCC-GARCH; Silicon Valley Bank; Bank failure; Hedge ratio;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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