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

投机者、价格和市场波动

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：我们使用2005 - 2009年能独特地识别交易者类别的数据，以测试对冲基金和互换交易商等投机者是否与波动性和价格变化相关。通过对各个价格趋势强劲时期进行检验，我们发现很少有证据能够表明投机者破坏了金融市场的稳定。相反，对冲基金头寸变化与玉米、原油和天然气期货市场的波动负相关。此外，互换交易商活动在很大程度上与同期波动无关。我们的证据与对冲基金提供有价值的流动性并且主要用于稳定期货市场的假设是一致的。

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.

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

翻译：陈然