We use recent data of the CFTC to re-assess the effects of financial traders on informational efficiency in commodity futures markets. To do so, we focus on excessive volatility as a means to reflect noise in the price discovery process. We show that the role of financial traders on volatility is more complex than often assumed in the literature. Researchers should distinguish between the trading motives of market actors, as well as between increases and decreases in open interest. Several findings stand out. In particular, we find that short-term fluctuations in open interest might primarily be driven by speculators’ demand for liquidity, and that traditional speculators, as identified by the MM category of the CFTC, may be responsible for increasing volatility in several markets.

我们使用 CFTC 的最新数据重新评估金融交易员对商品期货市场信息效率的影响。为此，我们将过度波动作为反映价格发现过程中噪音的一种手段。我们表明，金融交易员对波动率的作用比文献中通常假设的要复杂。研究人员应该区分市场参与者的交易动机，以及持仓量的增加和减少。有几个发现很突出。特别是，我们发现未平仓合约的短期波动可能主要是由投机者对流动性的需求驱动的，而 CFTC 的 MM 类别所确定的传统投机者可能是导致多个市场波动性增加的原因。