JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS Vol. 51, No. 5, Oct. 2016, pp. 1545-1574

投機者、價格和市場波動

作者：Celso Brunetti (Board of Governors of the Federal Reserve System), Bahattin Büyük?ahin (Bank of Canada), Jeffrey H. Harris (American University)

摘要：我們使用2005 - 2009年能獨特地識别交易者類别的數據，以測試對沖基金和互換交易商等投機者是否與波動性和價格變化相關。通過對各個價格趨勢強勁時期進行檢驗，我們發現很少有證據能夠表明投機者破壞了金融市場的穩定。相反，對沖基金頭寸變化與玉米、原油和天然氣期貨市場的波動負相關。此外，互換交易商活動在很大程度上與同期波動無關。我們的證據與對沖基金提供有價值的流動性并且主要用于穩定期貨市場的假設是一緻的。

Speculators, Prices, and Market Volatility

Celso Brunetti (Board of Governors of the Federal Reserve System), Bahattin Büyük?ahin (Bank of Canada), Jeffrey H. Harris (American University)

ABSTRACT

We use data from 2005–2009 that uniquely identify categories of traders to test how speculators such as hedge funds and swap dealers relate to volatility and price changes. In examining various subperiods where price trends are strong, we find little evidence that speculators destabilize financial markets. To the contrary, hedge fund position changes are negatively related to volatility in corn, crude oil, and natural gas futures markets. Additionally, swap dealer activity is largely unrelated to contemporaneous volatility. Our evidence is consistent with the hypothesis that hedge funds provide valuable liquidity and largely serve to stabilize futures markets.

原文鍊接：https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/div-classtitlespeculators-prices-and-market-volatilitydiv/F13BEA77E33B4600510ED688A82FBF65

翻譯：陳然