The flash crash : lead-lag relationship between SPDR S&P 500 ETF (SPY) and the select sector ETFs.

• Main Authors: Kho, Chia Ming., Ng, Nge Hwee., Quek, Benjamin Kwang Yi.
• Other Authors: Charlie Charoenwong
• Format: Final Year Project
• Language: English
• Published: 2013
• Subjects: DRNTU::Business::Finance::Funds
• Online Access: http://hdl.handle.net/10356/51345
• Institution: Nanyang Technological University

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...