Social Media as a Bank Run Catalyst

67 Pages Posted: 24 Apr 2023 Last revised: 13 Jul 2023

See all articles by J. Anthony Cookson

J. Anthony Cookson

University of Colorado at Boulder - Leeds School of Business

Corbin Fox

James Madison University- Department of Finance

Javier Gil-Bazo

Universitat Pompeu Fabra; UPF Barcelona School of Management; Barcelona School of Economics

Juan Felipe Imbet

Université Paris Dauphine - Department of Finance

Christoph Schiller

Arizona State University (ASU) - W.P. Carey School of Business

Date Written: April 18, 2023

Abstract

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.

Keywords: Bank Runs, Social Media, Social Finance, FinTech

JEL Classification: F30, F36, G38, Q50

Suggested Citation

Cookson, J. Anthony and Fox, Corbin and Gil-Bazo, Javier and Imbet, Juan Felipe and Schiller, Christoph, Social Media as a Bank Run Catalyst (April 18, 2023). Université Paris-Dauphine Research Paper No. 4422754, Available at SSRN: https://ssrn.com/abstract=4422754 or http://dx.doi.org/10.2139/ssrn.4422754

J. Anthony Cookson

University of Colorado at Boulder - Leeds School of Business ( email )

Boulder, CO 80309-0419
United States

Corbin Fox

James Madison University- Department of Finance ( email )

Zane Showker Hall
Harrisburg, VA 22801
United States

HOME PAGE: http://www.corbinfox.com

Javier Gil-Bazo

Universitat Pompeu Fabra ( email )

Ramon Trias Fargas, 25-27
Barcelona, 08005
Spain

UPF Barcelona School of Management ( email )

Carrer de Balmes, 132, 134
Barcelona, 08008
Spain

Barcelona School of Economics ( email )

Ramon Trias Fargas, 25-27
Barcelona, Barcelona 08005
Spain

Juan Felipe Imbet

Université Paris Dauphine - Department of Finance ( email )

Place du Maréchal de Lattre de Tassigny
Paris Cedex 16, 75775
France

Christoph Schiller (Contact Author)

Arizona State University (ASU) - W.P. Carey School of Business ( email )

Tempe, AZ 85287-3706
United States

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