سقوط ناگهانی: بررسی ثروت سهامداران و کیفیت بازار

We investigate stock returns, market quality, and options market activity around the flash crash of May 6, 2010. Abnormal returns are negative on the day of and the day after the flash crash for stocks that had trades that executed during the crash subsequently cancelled by either Nasdaq or NYSE Arca. Consistent with studies that suggest that other sources of liquidity withdrew from the markets during the flash crash, we find that the fraction of trades executed by the NYSE increases during this volatile period. Market quality deteriorates following the flash crash as bid-ask spreads increase and quote depths decrease. Evidence from the options markets indicates that investor uncertainty increased around the time of the crash and remained elevated for several days.

The flash crash lasted only a short time, but it left an indelible mark on financial markets. The crash has already affected regulatory policy, as the U.S. Securities and Exchange Commission recently approved trading pauses for individual stocks that experience a price movement of 10% or more over a 5-min period.12 Regulators, researchers, and other market participants continue to seek explanations for the day’s events. We contribute to the search for answers by studying stock returns, market quality, and options market activity around the flash crash. We find that shareholder wealth declined for stocks that had trades that executed on May 6, 2010 that were subsequently cancelled by either Nasdaq or NYSE Arca. We find that the fraction of trades executed on the NYSE increased dramatically during the flash crash and that market quality deteriorated, as bid-ask spreads increased and quote depths decreased. We also report significant changes in the derivatives markets as implied volatility increased, and option values became less (more) sensitive to changes in the underlying stock prices (implied volatility). These effects were not limited to stocks with cancelled trades but are also evident for a closely matched sample of stocks without trade cancellations. While it is difficult to attribute all of the results that we document strictly to the flash crash, such events have the potential to negatively impact investor confidence and destabilize financial markets.