Which economic crisis led to the creation of the SEC?

The SEC is the Securities and Exchange Commission.  The
purpose of this agency is to protect people who invest in stocks, bonds, and the like. 
The SEC is supposed to do this by ensuring that the markets are open and honest.  The
SEC was created in 1934 in response to the events and conditions that led to the Great
Depression.

In the time leading up to the stock market
crash of 1929 and the Great Depression, there were few laws regulating the stock
markets.  For example, firms could and did sell stocks that had very little basis in
reality; ones that were essentially worthless.  There were no laws to prevent this sort
of fraud.  This sort of thing helped to lead to the crash and the
Depression.

In response to the crash and the Depression,
the SEC was created.