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研究生(外文):Sheng-Jie Lin
論文名稱(外文):Effect of investor sentiment on the energy futures return
外文關鍵詞:Energy futuresInvestor sentimentReturn impactForecast ability
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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.
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
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