It would seem intuitively that, yes, you must, but the rules do not contain any language that appears to indicate that the market movement is conditional based on a build.
If no, would the speculator also be entitled to a market movement?
Seems pretty clear to me that it's required. There's a big long list stating what you must do, select a crew, spend stone, turn over the crew, record the points and take the bonus.
If you do not build, you literally take your ship back from the area, you functionally were never there.