投资者情绪、金融化与商品收益率  

Investor Sentiment,Financialization,and Commodity Yields

作　　者：邵航 刘用明[1] SHAO Hang;LIU Yongming(School of Economics,Sichuan University,Chengdu 610065,China)

机构地区：[1]四川大学经济学院,四川成都610065

出　　处：《西南大学学报（社会科学版）》2023年第4期148-161,共14页Journal of Southwest University(Social Sciences Edition)

基　　金：四川省社会科学规划项目“绿色金融支持四川绿色低碳优势产业高质量发展路径研究”(SC22B119),项目负责人:刘用明。

摘　　要：本文利用网络平台提取中国大宗商品关联的文本数据,通过情感分析方法构建按商品期货品种分类的日度投资者情绪指标,实证检验投资者情绪对金融化背景下中国商品期货市场的影响。研究结果表明,在控制了宏观经济、股票市场和商品相关因素后,投资者情绪对商品期货收益率具有显著解释力;相较于消极情绪的杀跌效应,投资者积极情绪对商品收益率的助涨效应更显著,特别是在金属与能源化工品种中;金融化程度对商品收益率中蕴含的投资者情绪风险敞口起到显著正向调节作用,高度金融化的商品期货收益率波动对投资者情绪变化更敏感;进一步分析表明,投资者情绪在商品期货价格短期预测中充当反向指标,在下跌趋势行情中和后新冠疫情时期有显著预测能力。This paper uses the textual data related to Chinese commodities from online platforms,constructs daily investor sentiment indicators classified by commodity futures varieties based on sentiment analysis,and empirically studies the impact of investor sentiment on the Chinese commodity futures market.The empirical results show that after controlling for macroeconomic,stock market,and commodity-related factors,investor sentiment has significant explanatory power on commodity futures returns.Compared with the selling losers effect of negative sentiment,the positive sentiment of investors has a more significant buying winners effect on commodity yields,especially in metals and energy and chemical commodities.The degree of financialization has a significant positive moderating effect on the risk exposure of investor sentiment contained in commodity yields,and the fluctuations of highly financialized commodity futures returns are more sensitive to the changes in investor sentiment.Further analysis shows that investor sentiment acts as a contrary indicator in the short-term prediction of commodity futures prices,and has significant predictive power in the downtrend and post-COVID-19 period.

关 键 词：商品金融化 投资者情绪 商品期货 商品收益率 

分 类 号：F832.5[经济管理—金融学]