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https://nccur.lib.nccu.edu.tw/handle/140.119/146913
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| Title: | 投資者情緒對大宗農產品期貨之影響
The Influence of Investor Sentiment on Agricultural Commodity Futures |
| Authors: | 顏仲甫
Yen, Chung-Pu |
| Contributors: | 周冠男
陳嬿如
Chou, Robin K.
Chen, Yenn-Ru
顏仲甫
Yen, Chung-Pu |
| Keywords: | 投資者情緒
農產品期貨
向量自我迴歸
Granger因果關係
Investor Sentiment
Agricultural Commodity
Vector Autoregression
Granger Causality |
| Date: | 2023 |
| Issue Date: | 2023-09-01 14:59:21 (UTC+8) |
| Abstract: | 近年來，學界已有諸多討論針對情緒指標對於股票交易、選擇權交易及外匯交易的影響，不過，針對農產期貨交易市場，相關的學術研討卻相對較少。依據DataStream資料庫之統計，交易量排名前三的農產期貨分別為玉米、大豆及小麥。
本研究探討投資者情緒對商品期貨報酬的影響，並透過實證分析黃豆、玉米和小麥等農產品期貨，試圖深入瞭解其內在的關聯性。我們採用向量自我迴歸(VAR)模型，並結合Granger因果關係檢定對變數間的交互影響進行研究。研究結果顯示，投資者情緒對商品期貨報酬確實有顯著的影響。尤其是小麥期貨，我們發現了明確的雙向因果關係。此外，本研究亦證實了不同情緒指標，如直接情緒指標和間接情緒指標，對期貨報酬有不同的影響。通過利用向量自回歸(VAR)模型，本研究進一步分析了各變數之間的時間序列關係。
In recent years, academic discussions have extensively examined the influence of sentiment indicators on stock trading, options trading, and foreign exchange trading. However, scholarly discourse on agricultural futures trading remains relatively limited. According to statistics from the DataStream database, the top three traded agricultural commodities by volume are corn, soybeans, and wheat.
This study investigates the impact of investor sentiment on commodity futures returns. Empirical analysis of agricultural futures, including soybeans, corn, and wheat, is employed to delve deeper into the intrinsic relationships. Utilizing the Vector Autoregression (VAR) model and complementing it with the Granger causality test, the mutual impacts between variables are examined. The results indicate a significant effect of investor sentiment on commodity futures returns, with a pronounced bidirectional causality discovered in wheat futures. Moreover, this research confirms that different sentiment indicators, such as direct and indirect sentiment indices, exert varying effects on futures returns. Through the application of the VAR model, the temporal relationships between the variables are further explored. |
| Reference: | 中文文獻：
林哲鵬、李春安、葉智丞 (2012)，投資人情緒與價格動能之關聯性，管理與系統，第十九卷第四期，頁729-759。
周賓凰、張宇志、林美珍 (2007)，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，頁153-190。
孫佩君 (2014)，情緒指標對黃金期貨價格的影響，未出版碩士論文，國立中央大學財務金融研究所， 台灣桃園。
陳妙玲 (2015)，基金投資者情緒指標對股市報酬率的不對稱影響，未出版碩士論文，國立中山大學財務管理研究所， 台灣高雄。
許菁旂、黃文聰、黃振聰 (2015)，投資人情緒對低波動異常現象的預測力: 市場狀態的影響，管理學報，第三十二卷第四期，頁399-424。
鄭高輯、林泉源 (2010)，投資人情緒對投機型股票報酬之影響，商略學報，第二卷第一期，頁21-35。
蔡承芳(2013)，探討情緒指標對柳橙汁期貨報酬的影響，未出版碩士論文，國立中央大學財務金融研究所， 台灣桃園。
墨基爾，漫步華爾街，第四版，天下文化書坊，台北市，2013年。
鍾惠民等，財務計量-Eviews的運用，初版，新陸書局，台北市，2011年。
英文文獻：
Bahloul, W., & Bouri, A. (2016). The impacts of investor sentiment on returns and conditional volatility of U.S. futures markets. Journal of Multinational Financial Management, 37-38, 1-13.
Barber, Brad M., & Terrance Odean (2000), Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors. Journal of Finance, 773–806.
Brown, G. W., & M. T. Cliff, 2005, Investor Sentiment and Asset Valuation, Journal of Business,78(2), 405–40.
De Bondt, W. F. M., & Thaler, R.H. (1985), Does the stock market overreact? Journal of Finance, 40, 793-808.
De Long, J. B., Shleifer, A., Summers, L.H. & Waldmann, R.J. (1990) Noise Trader Risk in Financial Markets. Journal of Political Economy, 98, 703-738.
Fisher, K. L., & M. Statman, 2000, Investor sentiment and stock returns, Financial Analysts Journal 56, 16-23.
Kahneman, D. & Tversky, A. (1979), Prospect theory: An analysis of decision under risk. Econometrica, 47, 263-291.
Neil, H. (1954). The Art of Contrary Thinking.
Shleifer and Vishny (1997), The limits of arbitrage. Journal of Finance 52, 35–55.
Wang (2001), Investor sentiment and return predictability in agricultural futures markets. The Journal of Futures Markets 21, 929-952.
網站參考：
芝加哥商品交易所 https://www.cmegroup.com/markets/agriculture.html#overview
美國農業部 https://www.usda.gov/oce/commodity/wasde |
| Description: | 碩士
國立政治大學
企業管理研究所(MBA學位學程)
109363061 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109363061 |
| Data Type: | thesis |
| Appears in Collections: | [企業管理研究所（MBA學位學程）] 學位論文
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