By Jeremy Ross

CHICAGO (CBS) — An investigation is underway after a deadly police shooting early Saturday morning in Gary, Indiana.

Police say the shooting happened at 3 a.m. near East 23rd Avenue and Kentucky Street where at least one officer used deadly force.

READ MORE: Chicago Weather: Threat For Damaging Thunderstorms And Low Chance Of Tornadoes

Through a statement Gary police said it all began while officers were conducting a traffic stop.

The Lake County Coroner’s Office said 25-year-old Rashad Cunningham died of gunshot wounds. He was pronounced dead at 4:30 a.m.

Gary police said no officers were injured during the incident.

READ MORE: 75-Year-Old Man Dead, Woman Injured In Brainerd Apartment Fire

It’s unclear what lead to the police shooting or what prompted the original traffic stop.

While not confirmed by police, one neighbor believes there could have been an exchange of gunfire, saying part of his house was shot.

“It makes me want to move,” said Cory Steele. “Because I got two children, and there’s bullet holes on the side, so I don’t know where that came from.”

“It makes me feel very scared because I have a three-month-old baby and the bullets could have went anywhere,” said Jamela King. “It could have came over to our house or the neighbor’s house, so it’s just pretty dangerous. I don’t really feel safe in a neighborhood like that.”

MORE NEWS: WATCH: Girl Challenges Pittsburgh Police Officer And Former Pitt Football Player To Race

Gary police said the Lake County Sheriff’s Department will be conducting the ongoing investigation.