咖啡期貨市場為原物料市場中十分投機的市場。本研究選擇咖啡期貨市場為研究市場，企圖證實一般投資人交易是非理性，易受到市場情緒影響而產生追高殺低的情形。故本文將以行為財務學的角度探討專業機構投資者與個別投資者的交易行為對咖啡期貨價格的影響。

本文使用Consensus Bullish Sentiment Index作為機構投資人情緒指標，實證發現專業機構投資者對咖啡期貨未來價格表達樂觀時，咖啡期貨報酬會如預測上漲，這表示機構投資人的情緒指標對咖啡期貨價格有預測能力，也就是說機構投資人有聰明錢效應。相反的，個別投資人的情緒指標 (MCSI、BW、CCI) 與咖啡期貨價格具有反向關係，代表個別投資人多半會受到市場雜訊影響而做出不理性的交易決策。當個別投資人對未來咖啡期貨價格感到樂觀(悲觀)時，會過度看多(看空)價格，而咖啡期貨下一期價格則會出現反轉。

As the coffee futures market is a very speculative market, this study examines how various investor sentiment measures affect the returns on coffee futures. Specifically, this thesis explores how the trading of professional institutional investors and individual investors affect the coffee futures prices from the behavioral finance perspective.

Using the Consensus Bullish Sentiment Index as an institutional investor sentiment indicator, the empirical evidence indicates that professional institutional investors are optimistic about the futures prices, the following will also rise, which means that institutional investors are smart investors. On the contrary, various individual investor sentiment indicators (i.e., MCSI, BW, CCI) are negatively correlated with coffee futures prices, suggesting that individual investors are irrational noise traders.

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研究所碩士論文。
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