投資者情緒與期貨價格關聯性

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：10

、訪客IP：18.116.90.141

姓名

張芸菁(Yun-Ching Chang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

投資者情緒與期貨價格關聯性
(Sentiment Measures in the Futures Markets)

相關論文

★ 避險基金之績效評估	★ 展望理論與共同基金績效
★ 生命週期基金 :行為財務學觀點	★ 國內股票型共同基金異常報酬之特徵研究
★ 行為特性與投資績效相關性之研究	★ 專業投資人行為特性探討
★ 中小型企業融資缺口與資訊不對稱之探討	★ 九型人格特質與理財偏誤行為之相關性研究
★ 台灣境外高收益債券型基金績效分析	★ 銀行通路轉型策略個案研究
★ 銀行財富管理行銷策略分析-以兩家在台外商銀行為例	★ 財富管理客戶選擇銀行之因素探討
★ 境外匯回專法實施前後境外資金解決方案比較－以個案分析為例	★ 羅盤玫瑰可預測型態之探討
★ 巢式與非巢式資產定價理論之比較與檢定	★ 投資者情緒與市場報酬

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

至系統瀏覽論文 ( 永不開放)

摘要(中)

近年來大量的文獻證實投資者情緒在股票市場上扮演重要角色，然至今學者對投資者情緒是否會影響期貨市場報酬仍莫衷一是。本文彙整5個分別代表股票市場、消費者信心及期貨市場專業投資者的情緒指標，逐一對32隻美國的商品期貨及金融期貨進行驗證。實證結果發現股票市場的投資者情緒並未具有跨市場之影響能力，此一結論支持Miller (1977) 所提出之放空限制假說，而廣被視為資訊交易者的期貨專業投資人其情緒則能顯著預測期貨報酬。本文進一步探究期貨市場上專業投資者獲得正向報酬之成因，發現在農產品期貨及金屬期貨上專業投資者較可能因承擔風險而獲得相應報酬 (風險溢酬效果)；然就家畜期貨及金融期貨而言，專業投資者較可憑藉其出色之分析能力賺取正向報酬 (聰明錢效果)。

摘要(英)

This article investigates the extent to which various investor sentiment measures explain the returns in U.S. futures markets where there exist no short-sale restrictions. Consistent with the Miller’s (1977) hypothesis, our empirical results show that the aggregate stock market investor sentiment, individual investor sentiment, and consumer confidence indices provide limited predictive ability. Surprisingly, only the Consensus bullish sentiment index (CBSI), an index compiled based on the opinion of institutional investors, provides comprehensive predictive power for all futures contracts. However, the relationship between changes in CBSI and subsequent futures returns is positive, suggesting that the CBSI may not be a sentiment index measuring noise traders’ misreaction. A further analysis based on a GARCH-in-mean model indicates that, among the sample of 32 futures contract, 8 contracts exhibit a positive risk-return relationship, suggesting that risk premium hypothesis that institutional investors are rational investors. Interestingly, about one third of the futures contracts exhibit a negative risk-return relationship, suggesting that a higher return predicted by an increase in CBSI is accompanied with a lower volatility, thus supporting the smart money hypothesis.

關鍵字(中)

★ 情緒指標
★ 聰明錢效果
★ 風險溢酬

關鍵字(英)

★ Investor sentiment
★ Smart money
★ Risk premium

論文目次

Abstract in Chinese I
Abstract II
Acknowledgement III
Contents IV
List of Tables V
1. Introduction 1
2. Literature review and hypothesis development 7
2.1 Investor sentiment and futures returns 7
2.2 The role of institutional investor sentiment (CBSI): smart money or risk premium 11
3. Data description, variable choices and summary statistics 15
3.1 Data 15
3.2 Summary statistics 18
4. Empirical evidence 20
4.1 Do various investor sentiments really matter in futures markets? 20
4.2 The nature of the CBSI index 23
4.3 Robustness check 26
5. Conclusion 28
Appendix A. Sample statistics for the futures 29
Reference 30

參考文獻

Alexander, G., Cici, G., Gibson, S., 2007. Does Motivation Matter When Assessing Trade Performance? An Analysis of Mutual Funds. Review of Financial Studies 20, 125–150.
Ahn, H.J., Kang, J., Ryu, D., 2008. Informed Trading in the Index Option Market: The Case of KOSPI 200 Options. Journal of Futures Markets 28, 1118–1146.
Acharya, V.V., Lochstoer, L.A., Ramadorai, T., 2013. Limits ot Arbitrage and Hedging: Evidence form Commodity Markets. Journal of Financial Economics 109, 441–465.
Akbas, F., Armstrong, W.J., Sorescu, S., Subrahmanyam, A., 2015. Smart-Money, Dumb Money, and Capital Market Anomalies. Journal of Financial Economics 118, 355–382.
Antoniou, C., Doukas, J.A., Subrahmanyam, A., 2013. Cognitive Dissonance, Sentiment, and Momentum. Journal of Financial and Quantitative Analysis 48, 245–275.
Bae, K.H., Yamada, T., Ito, K., 2008. Interaction of Investor Trades and Market Volatility: Evidence from the Tokyo Stock Exchange. Pacific‐Basin Finance Journal 16, 370–388.
Baker, M., Wurgler, J., 2006. Investor Sentiment and the Cross-Section of Stock Returns. The Journal of Finance 4, 1645–1680.
Baker, M., Wurgler, J., 2007. Investor Sentiment in the Stock Market. Journal of Economic Perspectives 21, 129–151.
Baker, M., Wurgler, J., Yuan, Y., 2012. Global, Local and Contagious Investor Sentiment. Journal of Financial Economics 104, 272–287.
Bessembinder, H., Chan, H., 1992. Time-Varying Risk Premiums and Forecastable Returns in Futures Markets. Journal of Financial Economics 32,169–193.
Black, F., 1986. Noise. Journal of Finance 41, 529–43.
Bollerslev, T., 1986. Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics 31, 307–327.
Brennan, M., 1958. The Supply of Storage. American Economic Review 48, 50–72.
Brown, G.W., 1999. Volatility, Sentiment, and Noise Traders. Financial Analysts Journal 55, 82–90.
Brown, G.W., Clift, M.T., 2004. Investor Sentiment and the Near-Term Stock Market. Journal of Empirical Finance 11, 1–27.
Brown, G.W., Clift, M.T., 2005. Investor Sentiment and Asset Valuation. Journal of Business 78, 405–440.
Campbell, J.Y., Kyle, A.S., 1993. Smart Money, Noise Trading, and Stock Price Behavior. Review of Economic Studies 60, 1–34.
Cao, C., Chen, Z., Griffin, J.M., 2005. Informational Content of Option Volume Prior to Takeovers. Journal of Business 78, 1073–1109.
Carter, C.A., Rausser, G.C., Schmitz, A., 1983. Efficient Asset Portfolios and the Theory of Normal Backwardation. Journal of Political Economy 91, 319–331.
Cen, L., Lu, H., Yang, L., 2013. Investor Sentiment, Disagreement, and the Breadth-Return Relationship. Management Science 59, 1076–1091.
Chakravarty, S., 2001. Stealth-Trading: Which Trader′s Trades Move Stock Prices? Journal of Financial Economics 61, 289−307.
Chang, C., 1985. Returns to Speculators and the Theory of Normal Backwardation. Journal of Finance 40, 193–208.
Chou, P.H., Hsieh, C.H., Shen, H.H., 2016. What Explains the Orange Juice Puzzle: Sentiment, Smart Money, or Fundamentals? Journal of financial Markets 29, 47–65.
Daigler, R., Wiley, M., 1999. The Impact of Trader Type on the Futures Volatility‐Volume Relation. Journal of Finance 54, 2297–2316.
Daniel, K., Hirshleifer, D., Subrahmanyam, A., 1998. Investor Psychology and Security Market Under- and Over-Reactions. Journal of Finance 53, 1839–1886.
DeBondt, W., 1993. Betting on Trends: Intuitive Forecasts of Financial Risk and Return. International Journal of Forecasting 9, 355–71.
Del Guercio, D., Tkac, P.A., 2002. The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds. Journal of Financial and Quantitative Analysis 37, 523–557.
DeLong, J., Shleifer, A., Summers, H., Waldmann, R., 1990. Noise Trader Risk in Financial Markets. Journal of Political Economy 98, 703–38.
DeLong, J., Shleifer, A., Summers, H., Waldmann, R., 1991. The Survival of Noise Traders in Financial Markets. Journal of Business 64, 1–19.
De Roon, F., Nijman, T., Veld, C., 2000. Hedging Pressure Effects in Futures Markets. Journal of Finance 55, 1437–1456.
Engle, R.F., 1982. Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation. Econometrica 50, 987–1008.
Engle, R.F., Lilien, D.M., Robbins, R.P., 1987. Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model. Econometrica, 55, 391–407.
Evans, R.B., Fahlenbrach, R., 2012. Institutional Investors and Mutual Fund Governance: Evidence from Retail-Institutional Fund Twins. Review of Financial Studies 25, 3530–3569.
Fisher, K.L., Statman, M., 2000. Investor Sentiment and Stock Returns. Financial Analysts Journal 56, 16–23.
Fong, W.M., Toh, B., 2014. Investor Sentiment and the MAX Effect. Journal of Banking and Finance 46, 190–201.
Gao, L., Suss, S., 2015. Market Sentiment in Commodity Futures Returns. Journal of Empirical Finance 33, 84–103.
Gao, B., Yang, C., 2017. Forecasting Stock Index Futures Returns with Mixed-Frequency Sentiment. International Review of Economics and Finance 2017, 69–83.
Gorton, G., Hayashi, F., Rouwenhorst, K.G., 2013. The Fundamentals of Commodity Futures Returns. Review of Finance 17, 35–105.
Gruber, M., 1996. Another Puzzle: The Growth in Actively Managed Mutual Funds, Journal of Finance 51, 783–810.
Han, B., 2008. Investor Sentiment and Option Prices, Review of Financial Studies 21, 387–414.
Hicks, J.R., 1939. Value and Capital: An Inquiry into Some Fundamental Principles of Economic Theory. Clarendon Press, Oxford.
Hong, H., Stein, J.C., 1999. A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets, Journal of Finance 54, 2143–84.
Jegadeesh, N., Titman, S., 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance 48, 65–91.
Kaldor, N., 1939. Speculation and Economic Stability. Review of Economic Studies 7, 1–27.
Kaniel, R., Saar, G., Titman, S., 2008. Individual Investor Trading and Stock Returns. Journal of Finance 63, 273–310.
Keswani, A., Stolin, D., 2008. Which Money Is Smart? Mutual Fund Buys and Sells of Individual and Institutional Investors. Journal of Finance 63, 85–118.
Keynes, J.M., 1923. Some Aspects of Commodity Markets. Manchester Guardian Commercial, European Reconstruction Series, Section 13, 784–786.
Kim, J.S., Ryu, D., Seo, S.W., 2014. Investor Sentiment and Return Predictability of Disagreement. Journal of Banking and Finance 42, 166–178.
Kumar, A., Lee, C., 2006. Retail Investor Sentiment and Return Comovements. Journal of Finance 61, 2451–2486.
Kuo, W.H., Chung, S.L., Chang, C.Y., 2015. The Impacts of Individual and Institutional Trading on Futures Returns and Volatility: Evidence form Emerging Index Futures Markets. The Journal of Futures Markets 35, 222–244.
Kurov, A., 2008. Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets. The Financial Review 43, 107–127.
Lee, W.Y., Jiang, C.X., Indro, D.C., 2002. Stock Market Volatility, Excess Returns, and the Role of Investor Sentiment. Journal of Banking and Finance 26, 2277–2299.
Lemmon, M., Portniaguina, E., 2006. Consumer Confidence and Asset Prices: Some Empirical Evidence. Review of Financial Studies 19, 1499–1529.
Matsusaka, J.G. and Sbordone, A.M., 1995. Consumer Confidence and Economic Fluctuations. Economic Inquiry 33, 296–318.
Miller, E.M., 1977. Risk, Uncertainty and Divergence of Opinion. Journal of Finance 32, 1151–1168.
Nayak, S., 2010. Investor Sentiment and Corporate Bond Yield Spreads, Review of Behavioral Finance 2, 59–80.
Newey, W., West, K., 1987. A Simple, Positive Semi-Positive, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica 55, 703–708.
Sanders, D.R., Irwin, S.H., Leuthold, R.M., 2003. The Theory of Contrary Opinion: A Test Using Sentiment Indices in Futures Markets. Journal of Agribusiness 21, 39–64.
Sapp, T., Tiwari, A., 2004. Does Stock Return Momentum Explain the Smart Money Effect? Journal of Finance 59, 2605–2622.
Schmeling, M., 2007. Institutional and Individual Sentiment: Smart Money and Noise Trader Risk? International Journal of Forecasting 23, 127–145.
Schmeling, M., 2009. Investor Sentiment and Stock Returns: Some International Evidence. Journal of Empirical Finance 16, 394–408.
Shalen, C., 1993. Volume, Volatility, and the Dispersion of Beliefs. Review of Financial Studies 6, 405–434.
Shleifer, A., Summers, L., 1990. The Noise Trader Approach to Finance, Journal of Economic Perspectives 4, 19–33.
Shleifer, A., Vishny, R.W., 1997. The Limits of Arbitrage. Journal of Finance 52, 35–55.
Simon, D.P., Wiggins III, R.A., 2001. S&P 500 Futures Returns and Contrary Sentiment Indicators. The Journal of Futures Markets 21, 447–462.
Stambaugh, R.F., Yu, J., Yuan, Y., 2012. The Short of It: Investor Sentiment and Anomalies. Journal of Finance Economic 104, 288–302.
Trueman, B., 1988. A Theory of Noise Trading in Securities Markets, Journal of Finance 43, 83–95.
Verma, R., Verma, P., 2008. Are Survey Forecasts of Individual and Institutional Investor Sentiments Rational? International Review of Financial Analysis 17, 1139–1155.
Wang, C., 2001. Investor Sentiment and Return Predictability in Agricultural Futures Markets. The Journal of Futures Markets 21, 929–952.
Wang, C., 2003. Investor Sentiment, Market Timing, and Futures Returns. Applied Financial Economics 13, 891–898.
Working, H., 1949. The Theory of the Price of Storage. American Economic Review 39, 1254–1262.
Yan, X., Zhang, Z., 2009. Institutional Investors and Equity Returns: Are Short-Term Institutions Better Informed? Review of Financial Studies 22, 893–924.
Yang, C., Gao, B., Yang, J., 2016. Option Pricing Model with Sentiment. Review of Derivatives Research 19, 147–164.
Yang, L., Goh, J., Chiyachantana, C., 2016. Valuation Uncertainty, Market Sentiment and the Informativeness of Institutional Trades. Journal of Banking and Finance 72, 81–98.
Zheng, L., 1999. Is Money Smart? A Study of Mutual Fund Investors’ Fund Selection Ability, Journal of Finance 54, 901–933.
Zheng, Y., 2014. The Linkage between Aggregate Stock Market Investor Sentiment and Commodity Futures Returns. Applied Financial Economics 24, 1491–1513.
Zwergel, B., Klein, C., 2006. On the Predictive Power of Sentiment: Why Institutional Investors Are Worth Their Pay, SSRN Working Paper.

指導教授

周賓凰、葉錦徽(Pin-Huang Chou Jin-Huei Yeh)

審核日期

2017-8-22

推文