The Silent Disco—Speculation in Bearish Commodity Markets and the Role of Liquidity
研究在流动性约束下，投机者如何影响大宗商品期货价格，发现空头投机增加价格暴跌概率，多头投机降低价格暴涨概率，且流动性紧张时影响更显著。
ABSTRACT This paper analyzes the possibility of speculative traders influencing the prices of commodity futures in the presence of liquidity constraints. We identify phases of price explosiveness following Phillips, Shi, and Yu and use a series of multinomial logistic models to analyze the influence of speculators on the probability of these explosive price episodes. We find that speculators taking short positions tend to increase the likelihood of negative price explosiveness in most commodities, while those with long positions often reduce the chance of positive price explosions. We also find that the probability of negative price explosiveness is more sensitive to the net short positions held by money managers when both market and funding liquidity are constrained.