Speculative Trading in Energy Markets: Evidence from Macroeconomic Surprises
利用高频数据和26个宏观经济公告，研究投机交易对原油、天然气等能源期货的影响，发现投机增加能改善流动性和价格发现、降低波动性，且对顺周期商品效果更强。
Speculative trading in energy and commodity markets has been blamed for increased volatility, price distortions, and market inefficiency, with negative effects on the real economy. We take a new approach to investigate the impact of speculative trading using macroeconomic announcements and high-frequency data. We study the impact of twenty-six macroeconomic announcement releases on energy commodities (crude oil, natural gas) as our baseline case, which we contrast with metals (gold, silver, copper, and palladium). We find that increased speculative trading lessens the impact of macroeconomic surprises on futures markets, as measured by price drift, volatility, and bid-ask spreads. Our full-sample results show that increased trading by speculators improves liquidity and price discovery, while reducing volatility. We document a damping effect on volatility that is stronger for procyclical commodities such as crude oil and natural gas than for precious metals such as gold, which is a safe haven. In sub-sample analysis where we separate the effects of money managers and swap dealers, we find that the positive effects that we document are driven by money managers. Since traditional market participants prefer stability, our results suggest a beneficial impact of increased trading and speculation.