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Pré-Publication, Document De Travail Année : 2023

Social Media as a Bank Run Catalyst

Résumé

After the run on Silicon Valley Bank (SVB), U.S. regional banks entered a period of significant distress. We quantify social media's role in this distress using comprehensive Twitter data. During the SVB run period, banks in the top tercile of pre-run Twitter exposure lost 6.6 percentage points more stock market value, an effect unexplained by mark-to-market losses and uninsured deposits. Moreover, social media amplifies balance sheet risks and is associated with greater outflow of uninsured deposits during Q1 2023. During the run period, high Twitter message volume in the past four hours predicts hourly stock market losses, especially for banks with high balance sheet risk. At even higher frequency, negative sentiment tweets in the run period translate into immediate stock market losses. These high frequency effects are stronger for tweets with contagion keywords and tweets by tech startup users who are likely depositors in SVB.
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Dates et versions

hal-04400382 , version 1 (17-01-2024)

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  • HAL Id : hal-04400382 , version 1

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J. Anthony Cookson, Corbin Fox, Javier Gil-Bazo, Juan Imbet, Christoph Schiller. Social Media as a Bank Run Catalyst. 2024. ⟨hal-04400382⟩
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