In this paper, we consider a non-local stochastic parabolic equation that actually serves as a mathematical model describing the adiabatic shear banding formation phenomena in strained metals. We first present the derivation of the mathematical model. Then we investigate under which circumstances a finite-time explosion for this non-local stochastic partial differential equation, corresponding to shear banding formation, occurs. For that purpose, some results related to the maximum principle for this non-local stochastic partial differential equation are derived, and afterwards the Kaplan eigenfunction method is employed.