Download This PaperHerding and Flash Events: Evidence From the 2010 Flash Crash
9 Pages Posted: 2 Nov 2018 Last revised: 28 Dec 2018
Date Written: December 26, 2018
Abstract
Using intraday data on individual stocks included in the S&P 500 index, we present evidence of herd formation over the duration and aftermath of the Flash Crash on May 6, 2010, while no evidence of herding is observed preceding the event. The findings establish a clear link between herding among market participants and flash events that can drive sudden price fluctuations and underscore the importance of monitoring herd activity, particularly in the case of automated markets.
Keywords: Herding, Flash Crash
JEL Classification: G14, G15
Suggested Citation: Suggested Citation
Demirer, Riza and Leggio, Karyl and Lien, Donald, Herding and Flash Events: Evidence From the 2010 Flash Crash (December 26, 2018). Finance Research Letters, 2019, Available at SSRN: https://ssrn.com/abstract=3263881 or http://dx.doi.org/10.2139/ssrn.3263881
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