Big elephants in small ponds: Do large traders make financial markets more aggressive?

• 成果类型: Article
• 署名作者: Bannier, CE
• 署名单位: Goethe University Frankfurt; Universitat Kassel
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2004.09.005
• 发表日期: 2005
• 页码: 1517-1531
• 关键词: currency crises; large traders; market sentiment; COORDINATION; private and public information

摘要

Market participants often suspect that large traders have a disproportionate effect on financial markets, increasing the aggressiveness of market responses. Prior studies have shown that the impact of a large trader on a currency crisis depends positively on his size and informational position. By contrast, this article highlights the role that market sentiment has on the impact of a large trader. If the market believes that fundamentals are weak, then the probability of a crisis depends positively on the trader's size but negatively on the precision of his information, with these effects reversed in a generally optimistic market. A large player, therefore, need not make market responses more aggressive. (c) 2005 Elsevier B.V. All rights reserved.