今天，澳博官方网站app研究所(澳博官方网站app研究所)发布了第一份基于一项新研究的研究报告, 由机构投资者交易组成的专有数据资产, exploring trading around three recent events that led to the largest one-day moves in the relevant currencies in the last 20 years: the Brexit referendum, the 2016 presidential election and the decision by the Swiss National Bank (SNB) to remove the Swiss Franc floor.

报告，”外汇市场受意外消息影响:机构投资者围绕英国脱欧的交易行为, 美国大选, 以及瑞士法郎市场，发现:

• 在这三场比赛中, 对冲基金交易量, 资产管理公司, 银行股价飙升, 但在波动较大的重新定价期间，只有对冲基金转移了重大风险, 参与建立新的市场均衡. 资产管理公司, 银行, 企业, 养老基金/保险公司, 公共部门只有在汇率稳定之后才转移风险, and therefore did not participate in the price discovery process or act as a stabilizing force 在 these events.
  • These results imply that market makers established a new equilibrium exchange rate without the benefit of net flow information from a broad set of investor sectors.

• 瑞士央行在出人意料的新闻发布会上取消了汇率下限, 净流入都是单向的——投资者在瑞士法郎升值时买入. 在对英国脱欧和美国大选的反应中, 随着意想不到的结果变得清晰，净流动的方向性更弱, 英镑的净流入喜忧参半，投资者在墨西哥比索贬值时买入.
  • It is likely that investors were all buying Swiss Francs because the surprise announcement from the SNB did not allow them to prepare, 这可能加剧了汇率的波动.

"The 粒度 of our transaction data allows us to provide an inside look at the trading behavior of various types of institutional investors 在 these three major market-moving events. 这样做的时候, 我们关注外汇市场如何达到事件后的均衡汇率, including which investor sectors transferred risk 在 the price discovery process and which sectors waited until exchange rates had stabilized to transfer risk,戴安娜·法雷尔说, 总裁兼首席执行官, 澳博官方网站app研究所. "As central 银行 and policymakers consider how and when to best announce market-moving policy changes, our analysis of the behavior of institutional investors can inform their decisions as they purse the appropriate balance between transparency in communicating policy actions and other critical factors, 比如维护他们的信誉.”

关于数据资产

The report leverages a new data asset that includes nearly 400 million institutional investor transactions across all asset classes, 来自J.P. 摩根公司 & 投资银行. 本报告中的分析是基于120,000瑞士法郎(CHF)即期和远期外汇交易, 英镑(GBP), 或墨西哥比索(MXN)在几小时前被处决, 在, 每次新闻爆出后. It includes measures of trading activity (measured by volumes) and risk transferred (measured by net flows) by six different investor sectors (对冲基金, 银行, 资产管理公司, 企业, 养老基金/保险公司, 和公共部门)来自全球所有三个区域(美洲), 欧洲/中东/非洲, 和亚洲/太平洋), and highlights the differences in size and pace of investor sector reactions to these major news events.

这项新研究的详细发现 研究 包括:

• 寻找一个:对冲基金的外汇交易量, 资产管理公司, 在这三次事件中，银行股价飙升. 与此形成鲜明对比的是, 公司业务量, 养老金/保险, 公共/其他投资部门几乎没有增长.
  • While a spike in trading volumes would certainly be expected given the importance and market impact of these three events, 企业, 养老金/保险, and public/other investors (the less active investor sectors) showed little change in trading volumes on the three event days relative to their average daily volumes over the prior year, 尽管结果出人意料，相关汇率出现了20年来最大的单日波动.

• 发现二:机构投资者在事件期间交易了大量外汇风险, but their net flows alone cannot explain the sharp exchange rate movements 在 the repricing periods.
  • 而与汇率大幅波动相吻合的机构投资者净资金流则很大, 它们并不比汇率稳定后发生的净流动大, indicating that the exchange rate moves just after the news broke were much larger than net flows alone would dictate.
  • 消息传出后，这三种货币的市场流动性可能立即下降, and this may partially account for the disproportionate impact of net flows 在 the repricing periods.

• Finding Three: Only 对冲基金 consistently transferred risk immediately after news broke and as currencies repriced sharply. 其他投资者只有在汇率稳定后才转移风险.
  • 因此, 只有对冲基金参与了后新闻均衡汇率的建立.
  • These results imply that market makers established a new equilibrium exchange rate without the benefit of net flow information from all the investor sectors and regions.

• 发现四:在瑞士央行事件中，活跃的投资者部门在每次事件中扮演了不同的角色, 他们都买了瑞士法郎, trading in the direction of the prevailing move in exchange rates; 在 the Brexit event their net flows were mixed; and 在 the US election event they bought MXN, 逆汇率变动进行交易.
  • 在瑞士央行宣布后的几分钟内, 对冲基金, 资产管理公司, and 银行 all bought CHF as it appreciated sharply and potentially amplified the move in exchange rates, 可能是因为这一出人意料的声明没有让投资者做好准备. 数据中有证据表明, 总而言之, 对冲基金 transacted as if they expected the EUR/CHF floor to remain in place up until the day it was removed.
  • 在英国脱欧期间，这三个投资领域的反应不一, 因为他们的净流量反映了英镑贬值时的买入和卖出, 在美国大选期间，他们在墨西哥比索贬值时买入. 英国脱欧公投和美国大选的时机众所周知, giving investors the opportunity to transact ahead of the events and account for all possible outcomes.

• 发现五:在每个投资领域, 在每次事件中，交易行为都有相当大的变化.
  • 不管投资者部门的资金流有多大, 在每个活跃的行业中，都有规模相当大的买家和卖家.
  • This within-sector variation refutes the idea that all investors in a particular sector transacted in the same direction at the same time 在 these three events.

• Finding Six: Banks and 对冲基金 traded higher volumes outside of their normal business hours and outside of a currency’s local market; other investor sectors did not.
  • Bank and hedge fund trading volumes spiked compared to average volumes 在 the overnight hours for both GBP and MXN, 交易行为的显著变化. These same two investor sectors were also the most willing to trade outside of their normal business hours.
  • 资产管理公司的交易量仅在美国交易时段出现飙升, 在英国脱欧公投和美国大选消息传出后的10到20小时.