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...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2013
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/51345 |
| _version_ | 1826113358960525312 |
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| author | Kho, Chia Ming. Ng, Nge Hwee. Quek, Benjamin Kwang Yi. |
| author2 | Charlie Charoenwong |
| author_facet | Charlie Charoenwong Kho, Chia Ming. Ng, Nge Hwee. Quek, Benjamin Kwang Yi. |
| author_sort | Kho, Chia Ming. |
| collection | NTU |
| description | 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. |
| first_indexed | 2024-10-01T03:21:54Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/51345 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T03:21:54Z |
| publishDate | 2013 |
| record_format | dspace |
| spelling | ntu-10356/513452023-05-19T05:44:59Z The flash crash : lead-lag relationship between SPDR S&P 500 ETF (SPY) and the select sector ETFs. Kho, Chia Ming. Ng, Nge Hwee. Quek, Benjamin Kwang Yi. Charlie Charoenwong Nanyang Business School DRNTU::Business::Finance::Funds 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. BUSINESS 2013-03-28T07:55:05Z 2013-03-28T07:55:05Z 2013 2013 Final Year Project (FYP) http://hdl.handle.net/10356/51345 en Nanyang Technological University 74 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Funds Kho, Chia Ming. Ng, Nge Hwee. Quek, Benjamin Kwang Yi. The flash crash : lead-lag relationship between SPDR S&P 500 ETF (SPY) and the select sector ETFs. |
| title | The flash crash : lead-lag relationship between SPDR S&P 500 ETF (SPY) and the select sector ETFs. |
| title_full | The flash crash : lead-lag relationship between SPDR S&P 500 ETF (SPY) and the select sector ETFs. |
| title_fullStr | The flash crash : lead-lag relationship between SPDR S&P 500 ETF (SPY) and the select sector ETFs. |
| title_full_unstemmed | The flash crash : lead-lag relationship between SPDR S&P 500 ETF (SPY) and the select sector ETFs. |
| title_short | The flash crash : lead-lag relationship between SPDR S&P 500 ETF (SPY) and the select sector ETFs. |
| title_sort | flash crash lead lag relationship between spdr s p 500 etf spy and the select sector etfs |
| topic | DRNTU::Business::Finance::Funds |
| url | http://hdl.handle.net/10356/51345 |
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