Abstract

http://ssrn.com/abstract=1736737
 
 

References (26)



 
 

Citations (6)



 


 



Speculators, Prices and Market Volatility


Celso Brunetti


Board of Governors of the Federal Reserve System (FRB)

Bahattin Buyuksahin


Bank of Canada

Jeffrey H. Harris


American University

January 7, 2011


Abstract:     
We employ data over 2005-2009 which uniquely identify categories of traders to test whether speculators like hedge funds and swap dealers cause price changes or volatility. We find little evidence that speculators destabilize financial markets. To the contrary, speculative trading activity largely reacts to market conditions and reduces volatility levels, consistent with the hypothesis that speculators provide valuable liquidity to the market. These results hold across a variety of products and suggest that hedge funds (with approximately constant risk tolerance as in Deuskar and Johnson [2010]) improve overall market quality.

Number of Pages in PDF File: 34

Keywords: Speculation, hedge funds, swap dealers, realized volatility, price

JEL Classification: C3, G1

working papers series





Download This Paper

Date posted: January 10, 2011  

Suggested Citation

Brunetti, Celso and Buyuksahin, Bahattin and Harris, Jeffrey H., Speculators, Prices and Market Volatility (January 7, 2011). Available at SSRN: http://ssrn.com/abstract=1736737 or http://dx.doi.org/10.2139/ssrn.1736737

Contact Information

Celso Brunetti (Contact Author)
Board of Governors of the Federal Reserve System (FRB) ( email )
20th Street and Constitution Avenue NW
Washington, DC 20551
United States
Bahattin Buyuksahin
Bank of Canada ( email )
234 Wellington Street
Ontario, Ottawa K1A 0G9
Canada
Jeffrey H. Harris
American University ( email )
Kogod School of Business
4400 Massachusetts Ave., N.W.
Washington, DC 20016-8044
United States
202-885-6669 (Phone)
Feedback to SSRN


Paper statistics
Abstract Views: 1,948
Downloads: 491
Download Rank: 32,139
References:  26
Citations:  6

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 0.500 seconds