美國經濟數據發佈或存在泄露現象

US investors may be profiting from leaked economic data releases that allow them to front-run market-moving news, according to a research paper published by the European Central Bank.

歐洲央行(ECB)發佈的一份研究論文稱，美國投資者或許正在從存在泄露的經濟數據發佈中獲利。

Macroeconomic news announcements can move markets, as traders watch for indications about how the economy is performing. The data are released to everyone at the same time to ensure fairness but ECB researchers said they had found evidence of “informed trading” ahead of US data releases.

由於交易員們會盯着表明經濟運行狀況的指標，宏觀經濟新聞的發佈能夠引起市場的變動。宏觀經濟數據要在同一時間公佈給所有人，以確保公平。但歐洲央行的研究人員表示，他們發現有證據顯示美國經濟數據發佈前存在“知情交易”。

Of the 21 market-moving announcements analysed, seven “show evidence of substantial informed trading before the official release time”, according to the paper, including two releases from the US government.

該論文稱，在其分析的21例引起市場變動的數據公佈中，有7例“給出了在官方發佈時間前發生可觀知情交易的證據”，其中2例涉及美國政府發佈的數據。

The pre-release “price drift” accounts for about half of the overall price impact from the announcement. The researchers looked at the impact on futures tracking the S&P 500 stock index and the 10-year Treasury bond for the 30 minutes preceding the announcement.

數據發佈前的“價格漂移”，約佔數據發佈對價格產生的總影響的一半。研究人員考察了數據發佈前30分鐘裏，跟蹤標普500指數(S&P 500)和10年期美國國債的期貨的價格受到的影響。

The researchers also note that the price impact has become worse since 2008, and estimate that since 2008 profits in the S&P “e-mini” futures market alone amount to about $20m per year.

研究人員還指出，2008年以來這種價格影響變得愈發嚴重。他們估計，自2008年以來，僅在標普“e-mini”期貨市場的獲利就可達每年約2000萬美元。

“These results imply that some traders have private information about macroeconomic fundamentals,” said the report. “The evidence suggests that the pre-announcement drift likely comes from a combination of information leakage and superior forecasting based on proprietary data collection and reprocessing of public information.”

“這些結果暗示，有些交易員有私下渠道獲知宏觀經濟基本面信息。”論文稱，“證據表明，數據公佈前的價格漂移，很可能源於信息泄露、以及以自有數據集和對公開信息的再加工爲基礎的超強預測。”

The paper raises questions about the safeguards used to ensure data are protected up until scheduled release time. Important economic indicators in the US are subject to the “Principle Federal Economic Indicator” guidelines, but the report notes that many distributors of the data are not subject to the same rules.

這份論文對用來保證數據在預定公佈時間前得到保密的措施提出了質疑。美國重要經濟指標的發佈要遵守“主要聯邦經濟指標”(PFEI)指導方針，但該論文指出，許多數據發佈機構並不受制於這一方針。

“To ensure fairness, no market participant should have access to this information until the official release time,” the report added. “Yet, in this paper we find strong evidence of informed trading before several key macroeconomic news announcements.”

“爲了保證公平，任何市場參與方都不應在官方的發佈時間之前獲知此類信息。”論文補充稱，“不過，在這份論文中，我們發現了幾例關鍵宏觀經濟新聞發佈前存在知情交易的確鑿證據。”

“No question, the way markets sometime[s] trade before the numbers, it seems like someone knows them,” said Andrew Brenner at National Alliance Capital Markets.

“毫無疑問，市場有時會在數據公佈之前發生變動，好像有人提前知道了消息，”National Alliance Capital Markets的安德魯•布倫納(Andrew Brenner)說。