Purpose The purpose of this paper is to study the effect of different parts (predictable and impact) of different types of speculative behavior (intraday speculation, medium-term speculation and long-term speculation) on future fluctuations in the underlying index. Design/methodology/approach The authors input information about heterogeneous speculative behavior into the HAR-RV model to study the effect of different parts (predictable and impact) of different types of speculative behavior (intraday speculation, medium-term speculation and long-term speculation) on the future fluctuation of the underlying index. Findings The authors find that the increase in intraday speculation will exacerbate spot market volatility; and the expected increase of long-term value speculation can reduce market volatility, but the shock of speculation will exacerbate market volatility. Practical implications The authors suggest that regulators should strictly limit speculative intraday trading, and also focus on the long-term value speculation that decreases market volatility, in order to guide the benign development of the markets that stabilize abnormal market fluctuations. Originality/value First, in view of the correlation between the futures and spot markets, the authors put forward a new proxy for the speculation degree. Second, the authors input heterogeneous speculative behavior into the HAR-RV model to study the effects of different parts (predictable and impact) on different types of speculative behavior (intraday speculation, medium-term speculation and long-term speculation) on the future fluctuation of the underlying index.

中文翻译：

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指数期货交易会引起市场波动吗？

目的本文的目的是研究不同类型的投机行为（日内投机，中期投机和长期投机）的不同部分（可预测和影响）对基础指数未来波动的影响。设计/方法/方法作者将关于异构投机行为的信息输入到HAR-RV模型中，以研究不同类型的投机行为（日内投机，中期投机和长期投机）的不同部分（可预测和影响）的影响）有关基础指数的未来波动。结论作者发现，盘中投机活动的增加将加剧现货市场的波动性；长期价值投机的预期增长可以减少市场波动，但是投机的冲击将加剧市场波动。实际意义作者认为，监管机构应严格限制投机性盘中交易，同时也应侧重于降低市场波动性的长期价值投机，以指导稳定市场异常波动的市场的良性发展。独创性/价值首先，鉴于期货和现货市场之间的相关性，作者为投机度提出了新的代理。其次，作者将异类投机行为输入到HAR-RV模型中，以研究不同部分（可预测和影响）对不同类型的投机行为（日内投机，中期投机和长期投机）对未来波动的影响基础索引的 实际意义作者认为，监管机构应严格限制投机性盘中交易，同时也应侧重于降低市场波动性的长期价值投机，以指导稳定市场异常波动的市场的良性发展。独创性/价值首先，鉴于期货和现货市场之间的相关性，作者为投机度提出了新的代理。其次，作者将异类投机行为输入到HAR-RV模型中，以研究不同部分（可预测和影响）对不同类型的投机行为（日内投机，中期投机和长期投机）对未来波动的影响基础索引的 实际意义作者认为，监管机构应严格限制投机性日内交易，同时也应侧重于降低市场波动性的长期价值投机，以指导稳定市场异常波动的市场的良性发展。独创性/价值首先，鉴于期货和现货市场之间的相关性，作者为投机度提出了新的代理。其次，作者将异类投机行为输入到HAR-RV模型中，以研究不同部分（可预测和影响）对不同类型的投机行为（日内投机，中期投机和长期投机）对未来波动的影响基础索引的