Today the JPMorgan Chase Institute released its first-ever study based on a new, proprietary data asset composed of institutional investor transactions, 探究导致相关货币出现近20年来最大单日波动的三个近期事件的交易:英国脱欧公投, 2016年总统大选以及瑞士国家银行(SNB)取消瑞士法郎最低汇率的决定.

The report, “FX Markets Move on Surprise News: Institutional Investor Trading Behavior around Brexit, the US Election, and the Swiss Franc Floor,” finds that:

• During all three events, trading volumes for hedge funds, asset managers, and banks spiked, but only hedge funds transferred significant risk during the volatile repricing periods, participating in the establishment of the new market equilibrium. Asset managers, banks, corporates, pension funds/insurance companies, and the public sector transferred risk only after exchange rates had stabilized, 因此，他们没有参与价格发现过程，也没有在这些事件中充当稳定力量.
  • 这些结果表明，做市商建立了一个新的均衡汇率，而没有从广泛的投资者部门获得净流量信息的好处.

• After the SNB removed the exchange rate floor in a surprise press release, net flows were all one-way—investors bought the Swiss Franc as it appreciated. During the reaction to Brexit and the US election, net flows were less directional—as unexpected results became clear, net flows in Pounds were mixed and investors bought the Mexican Peso as it depreciated.
  • 很可能投资者都在买入瑞士法郎，因为瑞士央行的意外声明让他们无法做好准备, and this may have exacerbated the move in the exchange rate.

“我们的交易数据的粒度使我们能够在这三个主要的市场波动事件中提供各种类型的机构投资者的交易行为的内部观察. In doing so, we spotlight how the FX market reached a post-event equilibrium exchange rate, 包括哪些投资者部门在价格发现过程中转移风险，哪些部门等到汇率稳定后才转移风险,” said Diana Farrell, President and CEO, JPMorgan Chase Institute. 央行和政策制定者正在考虑如何以及何时最好地宣布影响市场的政策变化, 我们对机构投资者行为的分析可以为他们的决策提供信息，因为他们在沟通政策行动的透明度和其他关键因素之间寻求适当的平衡, such as maintaining their credibility.”

About the Data Asset

该报告利用了一个新的数据资产，其中包括所有资产类别的近4亿笔机构投资者交易, sourced from the Markets division of J.P. Morgan’s Corporate & Investment Bank. The analysis in this report is based on 120,000 spot and forward FX transactions in Swiss Francs (CHF), the Pound sterling (GBP), or the Mexican Peso (MXN) that were executed in the hours before, during, and after news broke for each event. 它包括6个不同投资者部门(对冲基金)的交易活动(以成交量衡量)和风险转移(以净流量衡量)指标, banks, asset managers, corporates, pension funds/insurance companies, and the public sector) from all three regions of the globe (Americas, Europe/Middle East/Africa, and Asia/Pacific), 并突显出投资者对这些重大新闻事件的反应在规模和速度上的差异.

Detailed findings from this new research include:

• Finding One: FX trading volumes for hedge funds, asset managers, and banks spiked during the three events. In contrast, volumes for the corporate, pension/insurance, and public/other investor sectors barely increased.
  • 鉴于这三件事的重要性和对市场的影响，交易量肯定会飙升, corporate, pension/insurance, 公众/其他投资者(不太活跃的投资者部门)在三个交易日的交易量相对于前一年的平均日交易量变化不大, despite the unexpected outcomes and largest one-day moves in the relevant exchange rates in 20 years.

• Finding Two: Institutional investors traded significant amounts of FX risk during the events, 但它们的净流动本身并不能解释重新定价期间汇率的急剧变动.
  • While institutional investor net flows coincident with the sharp moves in exchange rates were large, they were no larger than the net flows that took place after exchange rates stabilized, 这表明，在消息传出后，汇率的波动远远大于单纯的净流动.
  • Market liquidity for the three currencies was likely lower immediately after the news broke, 这可能部分解释了重新定价期间净流量的不成比例影响.

• 发现三:只有对冲基金在新闻发布后和货币大幅升值时持续转移风险. Other investors transferred risk but only after exchange rates stabilized.
  • Therefore, only hedge funds participated in the establishment of the post-news equilibrium exchange rate.
  • 这些结果表明，做市商在没有来自所有投资者部门和地区的净流量信息的情况下建立了一个新的均衡汇率.

• Finding Four: The active investor sectors played different roles in each event: During the SNB event, they all bought CHF, trading in the direction of the prevailing move in exchange rates; during the Brexit event their net flows were mixed; and during the US election event they bought MXN, trading against the prevailing move in exchange rates.
  • In the minutes after the SNB announcement, hedge funds, asset managers, 银行纷纷买入瑞郎，因为瑞郎大幅升值，可能会放大汇率波动, likely because the surprise announcement did not allow investors to prepare. There is evidence in the data that, on balance, 对冲基金的交易就好像他们预计欧元/瑞郎的最低限价将一直维持到取消的那一天.
  • These same three investor sectors had a mixed reaction during Brexit, as their net flows reflected both buying and selling in GBP as it depreciated, and during the US election event they were buying MXN as it depreciated. The timing of the Brexit referendum and the US election were well known, 让投资者有机会在事件发生之前进行交易，并考虑到所有可能的结果.

• Finding Five: Within each investor sector, there was considerable variation in trading behavior during each event.
  • Regardless of the magnitude of the net flows at the investor sector level, there are both buyers and sellers of considerable size within each active sector.
  • 这种行业内变化驳斥了在这三个事件中，某一特定行业的所有投资者在同一时间以同一方向进行交易的观点.

• Finding Six: Banks and hedge funds traded higher volumes outside of their normal business hours and outside of a currency’s local market; other investor sectors did not.
  • 银行和对冲基金的交易量与英镑和墨西哥比索的隔夜平均交易量相比大幅飙升, a marked change in trading behavior. 这两类投资者也最愿意在正常营业时间之外进行交易.
  • Asset manager trading volumes only spiked during US trading hours, 10 to 20 hours after the news broke for both the Brexit referendum and the US election.