Correlation Behaviour of iShares Silver Trust During the 2010 Flash Crash

This paper investigates whether the exchange traded product, iShares Silver Trust (NYSEARCA: SLV) was susceptible to market contagion during the 2010 Flash Crash. We use intra-day data to examine the correlation dynamics between SLV and nine other exchange-traded products during the hours of 1.00pm and 4.00pm on 6 May, 2010 via random matrix theory, principle component analysis and minimal spanning trees. We find that SLV's share price became correlated with the falling prices of seven other exchange-traded products included in the sample. It also finds that the exchange-traded products representing gold (NYSEARCA: GLD) and Japanese Yen (NYSEARCA: FXY) remained uncorrelated with the overall market and rose in price during the Flash Crash