Banksy is well known for his anti-establishment street art which often points a satirical finger at the world as it is today.
"This unexpected piece of performance art became instant art world history, making it the first time a new work had been created in the course of an auction", Sotheby's said. After auction patrons were stunned to see it self-destruct, Banksy posted an Instagram video of the work being shredded along with a quote from Pablo Picasso: "The urge to destroy is also a creative urge".
The auction house said a female European collector was the successful bidder, agreeing to pay 1.04 million pounds ($1.4 million) for "Girl With Balloon".
Banksy works including Slave Labour are due to go under the hammer and auctioneers have promised no items will "shred or explode".
As the auction listing described, the painting was also "bordered by an ornate gilded frame, an integral element of the artwork chosen by Banksy himself".
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Arnaud Oliveux, an expert at the Artcurial auction house Paris suggested Banksy was careful not to destroy the whole of his painting.
It's not known whether Sotheby's had any prior knowledge of the prank, but the painting was conspicuously the final lot of the auction - which meant it marked a spectacular end to the company's Contemporary Art Evening Sale.
In 2016, scientists at Queen Mary's University in London used geographic profiling, based on the artist's movements, to identify him as a man called Robin Gunningham. His screen is visible and that angle is similar to one in footage in Banksy's video.
Artcurial will shortly auction three Banksy paintings, along with a resin-crafted figure of a rat holding a paintbrush signed by the artist.
A year later, he released an inflatable doll dressed as a Guantánamo Bay prisoner at Disneyland in California.