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...

We explore the effect of funding constraints on the trading costs of VIX futures. With an increase in funding constraints during a crisis (non-crisis) period, we observe a corresponding increase (decrease) in the proportional effective spread, quoted spread, order cost, asymmetric information,...