Speculators, Prices, and Market Volatility
利用2005-2009年交易商分类数据，检验对冲基金等投机者与波动性和价格变化的关系，发现投机者并未破坏市场稳定，反而提供流动性并稳定期货市场。
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.