投資人情緒對能源期貨的報酬影響

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林聖傑(Sheng-Jie Lin) 查詢紙本館藏

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財務金融學系

論文名稱

投資人情緒對能源期貨的報酬影響
(Effect of investor sentiment on the energy futures return)

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摘要(中)

過去探討能源期貨商品的文獻多半聚焦在原油和天然氣中，並且多數的文獻都以基本面因素為主要影響能源商品價格的因素，但有鑑於近年來商品期貨市場逐漸受到投資人的青睞而儼然成為一種新型態的投資工具，因此本文主要以投資人情緒的角度切入，探討投資人情緒是否為影響能源期貨報酬的重要因素，而本文選用多達9種投資人情緒指標，針對4種各具特色且與生活息息相關的能源商品進行研究探討，以期能對兩者間的關聯影響有更全面的了解。

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。

摘要(英)

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.

關鍵字(中)

★ 能源期貨
★ 投資人情緒
★ 報酬影響
★ 預測能力

關鍵字(英)

★ Energy futures
★ Investor sentiment
★ Return impact
★ Forecast ability

論文目次

目錄
中文摘要 i
英文摘要 ii
致謝詞 iii
目錄 iv
表目錄 v
圖目錄 vi
第一章前言 1
第二章文獻回顧 6
第一節能源商品 6
第二節投資人情緒 6
第三節投資人情緒對報酬的影響 8
第三章資料說明 11
第一節能源期貨商品介紹 11
第二節投資人情緒指標介紹 12
第三節控制變數介紹 17
第四章研究方法與假說 19
第一節當期報酬影響 19
第二節下期報酬預測 19
第三節研究假說 20
第五章實證結果 22
第一節 WTI輕質原油期貨 22
第二節熱燃油期貨 23
第二節天然氣期貨 24
第二節汽油期貨 25
第六章結論 28
參考文獻 30

參考文獻

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指導教授

高櫻芬

審核日期

2018-7-9

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