(54.236.58.220) 您好!臺灣時間:2021/02/27 11:47
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:林聖傑
研究生(外文):Sheng-Jie Lin
論文名稱:投資人情緒對能源期貨的報酬影響
論文名稱(外文):Effect of investor sentiment on the energy futures return
指導教授:高櫻芬高櫻芬引用關係
學位類別:碩士
校院名稱:國立中央大學
系所名稱:財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2018
畢業學年度:106
語文別:中文
論文頁數:65
中文關鍵詞:能源期貨投資人情緒報酬影響預測能力
外文關鍵詞:Energy futuresInvestor sentimentReturn impactForecast ability
相關次數:
  • 被引用被引用:0
  • 點閱點閱:141
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
過去探討能源期貨商品的文獻多半聚焦在原油和天然氣中,並且多數的文獻都以基本面因素為主要影響能源商品價格的因素,但有鑑於近年來商品期貨市場逐漸受到投資人的青睞而儼然成為一種新型態的投資工具,因此本文主要以投資人情緒的角度切入,探討投資人情緒是否為影響能源期貨報酬的重要因素,而本文選用多達9種投資人情緒指標,針對4種各具特色且與生活息息相關的能源商品進行研究探討,以期能對兩者間的關聯影響有更全面的了解。

本文主要發現為大多數的投資人情緒指標對於能源期貨當期的報酬確實具有顯著的影響,表示投資人情緒的變化確實具有推動能源期貨商品價格變動的能力,但多數的投資人情緒指標對於下期的報酬則不具有顯著的預測能力,也說明了若只依靠這些市場資訊來進行交易,似乎並無法有效地從中套利。
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.
目錄
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
參考文獻
Alquist, Ron, and Lutz Kilian. "What do we learn from the price of crude oil futures?." Journal of Applied Econometrics 25.4 (2010): 539-573.
Amano, Robert A., and Simon Van Norden. "Oil prices and the rise and fall of the US real exchange rate." Journal of International Money and Finance 17.2 (1998): 299-316.
Arkes, Hal R., Lisa Tandy Herren, and Alice M. Isen. "The role of potential loss in the influence of affect on risk-taking behavior." Organizational Behavior and Human Decision Processes 42.2 (1988): 181-193.
Baker, Malcolm, and Jeffrey Wurgler. "Investor sentiment and the cross‐section of stock returns." Journal of Finance 61.4 (2006): 1645-1680.
Barberis, Nicholas, and Richard Thaler. "A survey of behavioral finance." Handbook of the Economics of Finance, volume I (2003): 1053-1128.
Black, Fischer. "Noise." Journal of Finance 41.3 (1986): 528-543.
Brown, Gregory W., and Michael T. Cliff. "Investor sentiment and the near-term stock market." Journal of Empirical Finance 11.1 (2004): 1-27.
Campbell, John Y., and Albert S. Kyle. "Smart money, noise trading and stock price behaviour." Review of Economic Studies 60.1 (1993): 1-34.
Cheng, Ing-Haw, and Wei Xiong. "Financialization of commodity markets." Annu. Rev. Financ. Econ. 6.1 (2014): 419-441.
Chou, Pin-Huang, Chia-Hsun Hsieh, and Carl Hsin-Han Shen. "What explains the orange juice puzzle: Sentiment, smart money, or fundamentals?." Journal of Financial Markets 29 (2016): 47-65.
De Long, Shleifer, Summers, Waldmann "Noise trader risk in financial markets." Journal of Political Economy 98.4 (1990): 703-738.
Deeney, Cummins, Dowling, Bermingham. "Sentiment in oil markets." International Review of Financial Analysis 39 (2015): 179-185.
Dées, Karadeloglou, Kaufmann, Sánchez. "Modelling the world oil market: Assessment of a quarterly econometric model." Energy Policy 35.1 (2007): 178-191.
Du, Ding, and Xiaobing Zhao. "Financial investor sentiment and the boom/bust in oil prices during 2003–2008." Review of Quantitative Finance and Accounting 48.2 (2017): 331-361.
Fan, Ying, and Jin-Hua Xu. "What has driven oil prices since 2000? A structural change perspective." Energy Economics 33.6 (2011): 1082-1094.
Fisher, Kenneth L., and Meir Statman. "Investor sentiment and stock returns." Financial Analysts Journal 56.2 (2000): 16-23.
Forgas, Joseph P. "Mood and judgment: the affect infusion model (AIM)." Psychological Bulletin 117.1 (1995): 39.
Gompers, Paul A., and Andrew Metrick. "Institutional investors and equity prices." Quarterly Journal of Economics 116.1 (2001): 229-259.
Hicks, John R. "Value and capital, 1939." Mathematical Appendix (1946): 311-2.
Hirshleifer, David, and Tyler Shumway. "Good day sunshine: Stock returns and the weather." Journal of Finance 58.3 (2003): 1009-1032.
Hirshleifer, David. "Investor psychology and asset pricing." Journal of Finance 56.4 (2001): 1533-1597.
Hong, Harrison, and Motohiro Yogo. "What does futures market interest tell us about the macroeconomy and asset prices?." Journal of Financial Economics 105.3 (2012): 473-490.
Ibbotson, Roger G., and Jeffrey F. Jaffe. "“Hot issue” markets." Journal of Finance 30.4 (1975): 1027-1042.
Isen, Alice M., Thomas E. Nygren, and F. Gregory Ashby. "Influence of positive affect on the subjective utility of gains and losses: It is just not worth the risk." Journal of Personality and Social Psychology 55.5 (1988): 710.
Isen, Alice M., and Robert Patrick. "The effect of positive feelings on risk taking: When the chips are down." Organizational Behavior and Human Performance 31.2 (1983): 194-202.
Kaufmann, Robert K. "The role of market fundamentals and speculation in recent price changes for crude oil." Energy Policy 39.1 (2011): 105-115.
Keynes, John Maynard. A Treatise on Money: Macmillan & Company, 1930.
Klett, Timothy R., Donald L. Gautier, and Thomas S. Ahlbrandt. "An evaluation of the US Geological Survey world petroleum assessment 2000." AAPG Bulletin 89.8 (2005): 1033-1042.
Kuhnen, Camelia M., and Brian Knutson. "The influence of affect on beliefs, preferences, and financial decisions." Journal of Financial and Quantitative Analysis 46.3 (2011): 605-626.
Lee, Charles, Andrei Shleifer, and Richard H. Thaler. "Investor sentiment and the closed‐end fund puzzle." Journal of Finance 46.1 (1991): 75-109.
Li, Hong, and Sharon Xiaowen Lin. "Do emerging markets matter in the world oil pricing system? Evidence of imported crude by China and India." Energy policy 39.8 (2011): 4624-4630.
Matsusaka, John G., and Argia M. Sbordone. "Consumer confidence and economic fluctuations." Economic Inquiry 33.2 (1995): 296-318.
Mu, Xiaoyi. "Weather, storage, and natural gas price dynamics: Fundamentals and volatility." Energy Economics 29.1 (2007): 46-63.
Nofsinger, John R. "Social mood and financial economics." Journal of Behavioral
Finance 6.3 (2005): 144-160.
Qadan, Mahmoud, and Hazar Nama. "Investor sentiment and the price of oil." Energy Economics 69 (2018): 42-58.
Radetzki, Marian. "The anatomy of three commodity booms." Resources Policy 31.1 (2006): 56-64.
Reboredo, Juan C. "Modelling oil price and exchange rate co-movements." Journal of Policy Modeling 34.3 (2012): 419-440.
Ruan, Qingsong, et al. "Cross-correlations between Baltic Dry Index and crude oil prices." Physica A: Statistical Mechanics and its Applications 453 (2016): 278-289.
Sanders, Dwight R., Keith Boris, and Mark Manfredo. "Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's Commitments of Traders reports." Energy Economics 26.3 (2004): 425-445.
Saunders, Edward M. "Stock prices and Wall Street weather." American Economic Review 83.5 (1993): 1337-1345.
Schmeling, Maik. "Investor sentiment and stock returns: Some international evidence." Journal of Empirical Finance 16.3 (2009): 394-408.
Shleifer, Andrei, and Robert W. Vishny. "The limits of arbitrage." Journal of Finance 52.1 (1997): 35-55.
Tornell, Aaron, and Chunming Yuan. "Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates." Journal of Futures Markets 32.2 (2012): 122-151.
Wang, Changyun. "Investor sentiment and return predictability in agricultural futures markets." Journal of Futures Markets 21.10 (2001): 929-952.
Whaley, Robert E. "The investor fear gauge." Journal of Portfolio Management 26.3 (2000): 12-17.
周賓凰, 池祥萱, 周冠男, 龔怡霖. "行為財務學: 文獻回顧與展望." 證券市場發展季刊, 民國九十年 (2002).
周賓凰, 張宇志, 林美珍. "投資人情緒與股票報酬互動關係." 證券市場發展季刊, 第十九卷第二期 (2007): 153-190.
王韻怡, 池祥萱, 周冠男. "行為財務學文獻回顧與展望: 台灣市場之研究." 經濟論文叢刊 44.1 (2016): 1-55.
莫慶文,李顯儀,楊媚帆. "投資人心理情緒與股價報酬率之相關研究. " 管理科學研究, 2016.
蔡佩蓉, 王元章, 張眾卓. "投資人情緒, 公司特徵與台灣股票報酬之研究." 經濟研究 45.2 (2009): 273-322.
電子全文 電子全文(網際網路公開日期:20230630)
連結至畢業學校之論文網頁點我開啟連結
註: 此連結為研究生畢業學校所提供,不一定有電子全文可供下載,若連結有誤,請點選上方之〝勘誤回報〞功能,我們會盡快修正,謝謝!
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關論文
 
無相關期刊
 
無相關點閱論文
 
系統版面圖檔 系統版面圖檔