Document Type




Format of Original

17 p.

Publication Date




Source Publication

Journal of Financial Intermediation

Source ISSN



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.


Accepted version. Journal of Financial Intermediation, Vol. 23, No. 1 (2014 January): 140-156. DOI. © 2014 Elsevier. Used with permission.

NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Financial Intermediation. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Financial Intermediation, Vol. 23, No. 1 (January 2014): 140–156. DOI.