Speculators, Prices, and Market Volatility

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 m...

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Veröffentlicht in:	Journal of financial and quantitative analysis 2016-10, Vol.51 (5), p.1545-1574
Hauptverfasser:	Brunetti, Celso, Büyükşahin, Bahattin, Harris, Jeffrey H.
Format:	Artikel
Sprache:	eng
Schlagworte:	Futures market Hedge funds Investment funds Price variance Prices Securities markets Speculators Studies Swap arrangements Volatility
Online-Zugang:	Volltext
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