| 摘要: | 本文重新探究冷凍柳橙汁(FCOJ)期貨的謎團。在冷凍柳橙汁期貨價格中有許多未能被解釋的價格變動，儘管氣溫被視為最該具有解釋潛力的基本面因素，但檢測出來的解釋能力雖顯著卻極低。我們拉長樣本時間，並比較全期間，以及用2010年劃分出的兩個樣本區間之間的差異。本研究使用了佛羅里達州最靠近生產區域的一週最低氣溫，共識看漲情緒指數 (CBSI)作為機構情緒指標，以及由美國個人投資協會編制的投資人情緒指數(AAII)作為個別投資人情緒指標。與先前研究樣本不同的是，現今美國柳橙產量已不像從前獨佔市場，因此我們更預測基本面的影響應該降低。實證結果顯示，在極端氣候條件下，溫度提供了極少的解釋能力，而CBSI提供出最高近30%的解釋能力。隨後，我們使用GARCH模型來檢視CBSI指數的性質。發現在2010年前，CBSI指數可以理性反映出FCOJ期貨報酬的波動度與風險。然而2010年後則與先前的文獻有一致的結果，反映出聰明錢假說的特性：CBSI指數顯示看漲時，會伴隨著FCOJ期貨價格的增長與報酬波動度的減少；相反地，CBSI指數顯示看跌時，FCOJ期貨價格會降低、報酬波動度相對增加。因此我們仍認為CBSI有領先預測FCOJ期貨價格的能力，再次佐證聰明錢假設的有效性。;The purpose of this study is to reexamine the mysteries surrounding Frozen Concentrated Orange Juice (FCOJ) futures. There are numerous unexplained price movements in frozen orange juice futures prices, and despite temperature being considered a fundamental factor with potential explanatory power, the detected explanatory ability is significant yet remarkably low. We extend the sample period, comparing the entire duration and differences between two sample intervals delineated by the year 2010. This study utilizes the weekly minimum temperatures closest to the production area in Florida, the Consensus Bullish Sentiment Index (CBSI) as an institutional sentiment indicator, and the Investor Sentiment Index compiled by the American Association of Individual Investors (AAII) as an individual investor sentiment indicator.
Unlike previous research samples, the current orange production in the United States is no longer monopolizing the market, leading us to anticipate a reduction in the impact of fundamental factors. Empirical results show that under extreme weather conditions, temperature provides minimal explanatory power, while CBSI offers the highest explanatory power, reaching nearly 30%. Subsequently, we use a GARCH model to examine the nature of the CBSI index. It is found that before 2010, the CBSI index could rationally reflect the volatility and risk of FCOJ futures returns. However, after 2010, consistent with previous literature, it reflects the characteristics of the smart money hypothesis: when the CBSI index indicates bullish sentiment, it is accompanied by an increase in FCOJ futures prices and a decrease in return volatility; conversely, when the CBSI index indicates bearish sentiment, FCOJ futures prices decrease, and return volatility relatively increases. Therefore, we still believe that CBSI has the ability to lead and predict FCOJ futures prices, further supporting the effectiveness of the smart money hypothesis. |
