Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 6, 2023 erstellt
Beschreibung:
We assess the interplay between public investor attention and trading of the Silicon Valley Bank (SVB) stock before its default on March 10, 2023. Based on intra-day data in 15-minute 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 empirical evidence that Twitter sentiment and media attention ultimately fueled and accelerated the crash dynamics of Silicon Valley Bank apart from the asset-liability mismatch caused by inappropriate risk management. The findings also emphasize the importance of social media and herding behaviour for financial stability