本研究應用行為財務學觀點，檢視機構投資人和個別投資人行為是否會影響日圓期貨報酬。本文利用四種分別代表機構投資人和個別投資人的情緒指標，檢定情緒因子是否能解釋日圓期貨報酬。迴歸分析結果顯示，機構投資人情緒指標對日圓期貨報酬提供正向顯著的解釋能力，而個別投資人情緒指標為負向顯著影響日圓期貨報酬，代表機構投資人情緒對日圓有顯著的正向預測能力，但個別投資人的情緒卻是一種反向指標，此研究結果也提供日圓具有避險特質的證據。;We apply the behavioral finance perspectives to examine whether the behavior of institutional and individual investors affects the Japanese Yen futures returns. This paper uses four sentiment indicators that they proxy for institutional and individual investors, respectively, to investigate the association between the four sentiment factors and the Japanese Yen futures returns. We find that institutional investor sentiment index experiences a significantly positive relation with the Japanese Yen futures returns, while individual investor sentiment index is significantly negative related. The results imply that institutional investor sentiment exhibits predictive power for the Japanese Yen, but individual investor sentiment is a counter indicator. They also provide the evidence that the Japanese Yen is a kind of hedge tool.
