大豆類情緒指標能預測棕櫚油期貨價格嗎？

NCU Institutional Repository > 管理學院 > 財務金融學系碩士在職專班 > 博碩士論文 > Item 987654321/95153

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题名:	大豆類情緒指標能預測棕櫚油期貨價格嗎？
作者:	李志宏;Li, Chih-Hung
贡献者:	財務金融學系在職專班
关键词:	棕櫚油期貨;投資人情緒指標;市場雜訊;機構投資人;Palm oil futures;Investor sentiment indicators;Market noise;Institutional investor
日期:	2024-07-03
上传时间:	2024-10-09 16:22:00 (UTC+8)
出版者:	國立中央大學
摘要:	棕櫚油是世界三大植物油之一，在台灣許多食品加工都會使用到棕櫚油，該植物油與我們日常生活已密不可分，近年來，棕櫚油價格居高不下的原因主要是供應緊缺之故。受疫情影響，印度尼西亞和馬來西亞這兩大棕櫚油生產國產生減產問題，以及烏俄戰爭導至全球葵花籽油供應短缺，使得棕櫚油價格逐漸上升。本研究選擇棕櫚油期貨市場作為研究標的，應用行為財務學觀點，探討情緒對棕櫚油期貨報酬的影響，利用機構投資人的大豆與大豆油情緒指標，檢定此二類情緒因子是否能預測期貨報酬。本研究發現機構投資人的大豆油情緒指標對棕櫚油期貨報酬有解釋能力，且對未來一週的棕櫚油期貨報酬具有正向預測能力。此外，本研究還加入季節性因子，探討有無益於解釋棕櫚油期貨報酬，結果顯示季節性因子無顯著影響的結論。;Palm oil is one of the three largest vegetable oils in the world, widely used in food processing across Taiwan, and deeply integrated into our daily lives. In recent years, the price of palm oil has remained high mainly because of the shortage of supply. Affected by the epidemic, the two major palm oil producing countries, Indonesia and Malaysia, have faced production cuts, and the war between Ukraine and Russia has caused a global sunflower oil supply shortage, causing palm oil prices to gradually rise. This study selects the palm oil futures market as the research subject, applying explore the influence of sentiment of behavioral finance to explore the impact of sentiment on palm oil futures returns, and uses the soybean oil sentiment indicators of institutional investors to test whether the soybean oil sentiment factor can predict futures returns. This study finds that the soybean oil sentiment indicator of institutional investors has the ability to explain palm oil futures returns and has the ability to positively predict palm oil futures returns in the next week. Additionally, this study also adds seasonal factors to explore the impact of seasonal factors on palm oil futures returns. The results show that seasonal factors have no significant effect.
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