本研究選擇黃金期貨市場為研究市場，企圖證實投資人絕非完全理性，易受到市場情緒影響而產生不理性的行為。本文使用Consensus Bullish Sentiment Index為直接情緒指標，黃金期貨交易量、黃金期貨未平倉量、美元指數期貨、S&P 500指數及VIX波動率指數為間接情緒指標。實證結果發現直接及間接情緒指標皆能提升模型對黃金期貨價格的解釋能力，顯示市場存在某種程度的非理性。分量迴歸結果證實，高分量(tau=0.90)時，黃金期貨交易量之變動對其價格無顯著關係，低分量(tau=0.10)時，黃金期貨交易量之變動對其價格呈現顯著負相關，代表市場可能出現損失趨避的心理。另在T檢定統計研究中有足夠證據顯示，黃金期貨價格處於相對高水位時，下一期的報酬顯著為正，若價格處於相對低水位時，下一期的報酬顯著為負，代表投資人可能出現追高殺低等某種程度的不理性行為。;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.
