| 摘要(英) |
This research examine the irrationality in the gold future. We apply Consensus Bullish Sentiment Index as a direct sentiment indicator, open interest, trading volume, future of U.S. dollar index, Standard and Poor 500 index and Volatility Index are used as indirect sentiment indicators. The empirical result shows that the sentiment indicators have significant explanatory power. This also indicates that Consensus Bullish Sentiment Index has explain part of variation of gold future market. In other words, gold future market exist irrationality. The result from quantile regression shows that when the price is in relative high level, the trading volume has no significant relationship with the price of gold future. In the contrast, when the price is in relative low level, the relationship becomes significant negative. This could be explain as a loss aversion in gold future market. Finally we use the 52-week high of the gold price to examine the return of next period at different level. The result shows that when the price is in relative high level, the return of gold future is significant positive. In opposite, the return is significant negative. This represents investors are buying high and selling low in the gold future market. |
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