情緒指數能否預測石油期貨價格之變化;Can Sentiment Index Predict Changes in Oil Futures Prices?

NCU Institutional Repository > 管理學院 > 財務金融研究所 > 博碩士論文 > Item 987654321/83634

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题名:	情緒指數能否預測石油期貨價格之變化;Can Sentiment Index Predict Changes in Oil Futures Prices?
作者:	葉芷君;Yeh, Chih-Chun
贡献者:	財務金融學系
关键词:	情緒指數;CBSI;石油期貨;格蘭傑因果檢定;Garch-in-Mean;Sentiment Index;CBSI;Oil Futures;Granger Causality Test;Garch-in-Mean
日期:	2020-07-15
上传时间:	2020-09-02 16:46:18 (UTC+8)
出版者:	國立中央大學
摘要:	本研究主要係探討情緒指數是否能夠預測石油期貨價格的變化，著重於西德州和布蘭特原油期貨價格之變化方面，研究期間為1994年至2019年，研究分別使用月頻率、週頻率和日頻率等十一種情緒指數來進行預測，並比較情緒指數間預測能力之高低，研究過程中採用標準預測迴歸模型、格蘭傑因果關係檢定及Garch-in-Mean模型加以驗證，實證結果發現部分情緒指數確實可以有效預測石油期貨報酬。再者，藉由Garch-in-Mean檢驗結果，顯示專業投資人情緒指數 - CBSI情緒指數對西德州原油期貨報酬具有聰明錢效應 (smart money effect)；此外，該指數也對於兩種原油期貨報酬具有相當的預測能力，希冀透過本研究能增進投資人對於不同情緒指數的認識，進而能有效利用情緒指數去判斷石油期貨市場中其價格的變化。關鍵字: 情緒指數、CBSI、石油期貨、格蘭傑因果檢定、Garch-in-Mean ;This thesis explores whether the sentiment index can forecast the changes of oil futures prices, focusing on studying changes in the West Texas Intermediate and Brent crude oil futures prices. The sample period is from 1994 to 2019, using eleven types of monthly-, weekly- and daily-frequency sentiment indexes. We use each individual sentiment index to make prediction and compare the predictive power among them. The research methods include the standard predictive regression model, Granger causality test and Garch-in-Mean model. The empirical results show that some of the sentiment indexes effectively predict oil futures returns. Furthermore, the result in the Garch-in-Mean test also shows that the professional investor sentiment index - CBSI sentiment index has a smart money effect on the West Texas Intermediate crude oil futures returns. In addition, this index also has a considerable predictive ability. Through this study, investors can understand the efficacy between each sentiment index, and also use these sentiment indexes to judge the changes in oil futures prices when investing in the oil futures markets. Keywords: Sentiment Index, CBSI, Oil Futures, Granger Causality Test, Garch-in-Mean
显示于类别:	[財務金融研究所] 博碩士論文

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