The flash crash : lead-lag relationship between SPDR S&P 500 ETF (SPY) and the select sector ETFs.
The Flash Crash of May 6, 2010 was a period of extreme market volatility which questioned the stability of existing financial market indicators. Using data from the NYSE Transactions and Quotes database (TAQ) via Wharton Research Database System (WRDS), we employed the Vector Autoregressive (VAR) mo...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project |
| Language: | English |
| Published: |
2013
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/51345 |
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| Institution: | Nanyang Technological University |
| Language: | English |
| Summary: | The Flash Crash of May 6, 2010 was a period of extreme market volatility which questioned the stability of existing financial market indicators. Using data from the NYSE Transactions and Quotes database (TAQ) via Wharton Research Database System (WRDS), we employed the Vector Autoregressive (VAR) model to investigate the lead lag relationship between the SPDR S&P 500 ETF SPY and Select Sector ETFs in the days leading up to the Crash, during the Crash itself and the aftermath of the Crash. Our conclusion is twofold: i) evidence showed the leadership of the SPY strengthening during the crash, thus implying lowered market efficiency during periods of high volatility and ii) the extent of SPY leadership weakened post-crash, implying that market efficiency improved. |
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