Herding and flash events: Evidence from the 2010 Flash Crash

Riza Demirer, Karyl B. Leggio and Donald Lien

Finance Research Letters, 2019, vol. 31, issue C

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 (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318307475

DOI: 10.1016/j.frl.2018.12.018

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