The deputy chair of the Australian Securities and Investments Commission, Belinda Gibson, last night said the question of whether there had been illegal activity behind it was "very much open."

Shares in more than eight blue-chip stocks - including ANZ Bank, Commonwealth Bank, Brambles, AGL, Bank of Queensland, Ansell and Aristocrat - saw massive spikes in their share prices in the seconds after they began trading at 10am. ANZ, which closed at $25.79 on Wednesday, soared to $27.63 on the opening bell, before collapsing to $26.16.

Ms Gibson confirmed the flash spike occurred after several buy orders relating to futures contracts were withdrawn seconds before share trades were about to take place.

"It seems a futures contract was expiring [yesterday] morning," Ms Gibson said in a late parliamentary hearing in Canberra.

"There were a number of parties in the market looking to buy and sell the underlying stock to meet the futures contract to close out their books," she said.

"There were a number of buy orders in the market, there were a number of sell orders in the market until one or two seconds before the actual match happens in the auction and those orders were withdrawn. That caused the buy orders to compete to push up the price."

ASIC does not think high-speed trading drove the event, but brokers last night said a computer program must have been used to make the changes.

The stock orders that continued to buy were unlikely to have lost money because the futures index was rising in parallel, Ms Gibson.

Ms Gibson said the watchdog was investigating whether someone had deliberately caused the spike, which had caused “dislocation” for the rest of the market for slightly less than a minute.

"We're looking to see whether a party or parties might have profited as a consequence of the trading," she said.

"We don't think that it would appear to have been a high frequency trading type of event, but whether it was an action that was in any way illegal is very much open."