投机行为对商品期货的影响——100项实证研究结果综述

Marco Haase, Yvonne Seiler Zimmermann, H. Zimmermann
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引用次数: 2

摘要

关于投机行为对商品期货价格影响的实证研究很多。这些论文在投机效应的焦点变量(如价格、波动性、溢出效应)、所使用的投机衡量标准以及它们的方法复杂性和质量方面存在很大差异。我们回顾和评估了在过去十年中就这一主题发表的(或至少经常被引用的)100篇论文的方法和结果。虽然总体情况表明,报告强化效应和弱化效应的研究数量大致相同,但如果研究使用直接的推测措施,结果就会倾向于发现(明确或混合)弱化效应。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Impact of Speculation on Commodity Futures – A Review of the Findings of 100 Empirical Studies
There are numerous empirical studies on the impact of speculation on commodity futures prices. The papers strongly differ in terms of the focus variable (e.g. price, volatility, spillover effects) of speculative effects, the speculation measure used, and their methodological sophistication and quality. We review and evaluate the methodology and results of 100 papers which have been published (or are at least frequently quoted) on this subject over the past decade. While the overall picture indicates that the number of studies which report reinforcing and weakening effects is about the same, the results shift in favor of finding (clear or mixed) weakening effects if studies use direct measures of speculation.
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