对冲基金在瑞士法郎外汇市场中的作用

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance Pub Date : 2025-02-28 DOI:10.1016/j.jimonfin.2025.103311

Jessica Gentner

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引用次数: 0

摘要

本文研究了对冲基金在瑞士法郎（CHF）外汇（FX）市场中的作用，使用了一个新颖而全面的流量数据集，涵盖了瑞士法郎外汇市场的很大一部分。采用两阶段最小二乘（2SLS）方法，我隔离对冲基金的净流量对瑞郎回报的因果关系，考虑到反向因果关系。分析显示，对冲基金的净流量显著影响瑞郎的回报，净买入10亿瑞郎导致回报增加约0.4 %。相比之下，来自其他市场参与者的净资金流的影响可以忽略不计，即使潜在的反向因果关系被排除。当瑞士国家银行（SNB）公布出人意料的紧缩货币政策时，对冲基金净流量的影响变得尤为明显。在这样的日子里，即使是一个小小的意外，也会大大放大对冲基金净流动的影响。对市场参与者交易价格的分析证实了一个假设，即对冲基金由于其在外汇预测和最佳执行方面的专业知识以及卓越的交易时机能力，总体上倾向于以比其他市场参与者更有利的价格进行交易。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The role of hedge funds in the Swiss franc foreign exchange market

This paper investigates the role of hedge funds within the Swiss franc (CHF) foreign exchange (FX) market, using a novel and comprehensive flow dataset that covers a large proportion of the CHF FX market. Employing a two-stage-least-squares (2SLS) approach, I isolate the causal effect of hedge funds’ net flow on CHF returns, taking into account reverse causality. The analysis reveals that hedge funds’ net flow significantly impacts CHF returns, with a net buying of one billion leading to an approximate 0.4 % increase in returns. In contrast, the net flow from other market participants has a negligible impact, even when potential reverse causality is dismissed. This influence of hedge funds’ net flow becomes particularly noticeable on days when the Swiss National Bank (SNB) delivers contractionary monetary policy surprises. On such days, even a small surprise amplifies the impact of hedge funds’ net flow significantly. The analysis of market participants’ trading prices substantiates the hypothesis that hedge funds, due to their expertise in FX forecasting and best execution as well as superior transaction timing abilities, in aggregate tend to trade at more advantageous prices than other market participants.

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来源期刊

Journal of International Money and Finance BUSINESS, FINANCE-

CiteScore

4.20

自引率

4.00%

发文量

141

期刊介绍： Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.