本文主要發現為大多數的投資人情緒指標對於能源期貨當期的報酬確實具有顯著的影響，表示投資人情緒的變化確實具有推動能源期貨商品價格變動的能力，但多數的投資人情緒指標對於下期的報酬則不具有顯著的預測能力，也說明了若只依靠這些市場資訊來進行交易，似乎並無法有效地從中套利。 ;In the past, most of the literature on energy futures commodities was focused on crude oil and natural gas, and most of the literature used fundamental factors as factors that mainly affect energy commodity prices. However, given that commodity futures markets have gradually become favored by investors in recent years, they have become a new type of investment tool, so this thesis mainly focuses on the perspective of investor sentiment to explore whether the investor′s mood is an important factor affecting the energy futures returns. This thesis selects up to 9 kinds of investor sentiment indicators for four kinds of different energy products.
This thesis mainly finds that most investors sentiment index has a significant effect on the current energy futures returns, indicating that the change in investor sentiment does affect the price changes in energy commodities futures. However most investor sentiment indexes do not have a significant forecast power for next period return. It also shows that if we only rely on these market information for trading, it seems that there are no arbitrage opportunity.