Price Changes Around Hedge Fund Trades: Disentangling Trading and Disclosure Effects

2011 ◽  
Author(s):  
Ettore Croci ◽  
Giovanni Petrella
Keyword(s):  
Hedge Fund ◽  
Price Changes

scholarly journals Speculators, Prices, and Market Volatility

2016 ◽  
Vol 51 (5) ◽  
pp. 1545-1574 ◽  
Author(s):  
Celso Brunetti ◽  
Bahattin Büyükşahin ◽  
Jeffrey H. Harris
Keyword(s):  
Natural Gas ◽  
Financial Markets ◽  
Crude Oil ◽  
Hedge Funds ◽  
Futures Markets ◽  
Hedge Fund ◽  
Market Volatility ◽  
Price Changes ◽  
Oil And Natural Gas ◽  
Price Trends

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 markets. To the contrary, hedge fund position changes are negatively related to volatility in corn, crude oil, and natural gas futures markets. Additionally, swap dealer activity is largely unrelated to contemporaneous volatility. Our evidence is consistent with the hypothesis that hedge funds provide valuable liquidity and largely serve to stabilize futures markets.

Limit theorems and price changes in financial markets

1998 ◽  
Vol 77 (5) ◽  
pp. 1353-1356
Author(s):  
Rosario N. Mantegna, H. Eugene Stanley
Keyword(s):  
Financial Markets ◽  
Limit Theorems ◽  
Price Changes

Hidden Hedge Fund Risks Jeopardize Unknowing Investors

CFA Magazine ◽  
2003 ◽  
Vol 14 (3) ◽  
pp. 52-53
Author(s):  
Crystal Detamore-Rodman
Keyword(s):  
Hedge Fund

Hedge Fund Survey: Risk Management Overview

CFA Digest ◽  
2001 ◽  
Vol 31 (2) ◽  
pp. 95-95
Author(s):  
Frank T. Magiera
Keyword(s):  
Risk Management ◽  
Hedge Fund

The Hedge Fund “Industry” and Absolute Return Funds

CFA Digest ◽  
1999 ◽  
Vol 29 (4) ◽  
pp. 43-44
Author(s):  
Laurie Effron
Keyword(s):  
Hedge Fund ◽  
Fund Industry

Hedge Fund Due Diligence and Legal Considerations

2004 ◽  
Vol 2004 (1) ◽  
pp. 62-67, 72-74
Author(s):  
Joseph H. Nesler
Keyword(s):  
Hedge Fund ◽  
Due Diligence

Hedge Fund Performance and Risk

2004 ◽  
Vol 2004 (1) ◽  
pp. 43-50 ◽  
Author(s):  
David A. Hsieh
Keyword(s):  
Hedge Fund ◽  
Fund Performance ◽  
Hedge Fund Performance
Sign in / Sign up

Export Citation Format

Share Document