本研究選擇結凍濃縮柳橙汁(FCOJ)期貨市場為研究市場，企圖在這個被證實能理性反應基本面資訊的市場中，探討是否市場也會反應非理性資訊，也就是在考慮基本面資訊(溫度變數)的情況下，檢驗情緒指標是否可解釋柳橙汁期貨報酬。本文使用Consensus Bullish Sentiment Index作為直接情緒指標，陽光、日照作為間接情緒指標。實證結果發現考慮直接情緒指標能使得模型對期貨報酬的解釋能力提升，相對地，間接情緒指標卻無法增加模型對期貨報酬的解釋能力。因此，柳橙汁期貨市場被證實有某種程度的非理性，柳橙汁期貨價格除了反應理性資訊亦能反應非理性資訊。由Granger causality test可知直接情緒與報酬間存在雙向反饋關係。迴歸結果證實過去八週的直接情緒指標與當週的報酬之間存在顯著正相關，其中過去一週的直接情緒對當週的報酬影響性最大，此證據顯示在FCOJ期貨市場中直接情緒指標無法做為反向操作的指標。利用穩健性檢定亦得出一致的結果。

This paper focuses on the futures market of frozen concentrated orange juice (FCOJ), which is testified having ability to rationally reflect fundamental information. The purpose of this paper is to examine whether FCOJ futures market also reacts to irrationality, that is, whether sentiment indicators can explain FCOJ futures returns while considering the temperature effect. We use Consensus Bullish Sentiment Index as a direct sentiment indicator while sunshine and daylight are used as indirect sentiment indicators. The empirical results show that the explanatory power toward FCOJ futures returns can be improved by considering the direct sentiment indicator. On the contrary, the indirect sentiment indicators do not have impact on FCOJ futures returns. Accordingly, the FCOJ futures market is considered, to some extent, irrational. Moreover, there is a bi-directional feedback between direct sentiment indicator and returns using Granger causality test. Direct sentiment indicator for the past eight weeks is positively related to futures returns while the impact caused by the lasted week futures returns is the most significant. The result implies direct sentiment indicator cannot be considered to be contrary indicator. The result sustains in the robustness check.

Boudoukh J., M. Richardsonb, Y. Shen, and R. F. Whitelaw, 2007, Do asset prices reflect fundamentals? Freshly squeezed evidence from the OJ market, Journal of Financial Economics 83, 397-412.
Brown, G. W., and M. T. Cliff, 2005, Investor Sentiment and Asset Valuation, Journal of Business 78(2), 405–40.
Canoles, B. W., S. Thompson, S. Irwin, and V.G. France, 1998, An analysis of the profiles and motivations of habitual commodity speculators, Journal of Futures Markets 18, 765-801.
Cao M. and J. Wei, 2005, Stock market returns: A note on temperature anomaly, Journal of Banking & Finance 29, 1559-1573.
Cumby, R. E., and D. M. Modest, 1987, Testing for market timing ability: A framework for forecast evaluation, Journal of Financial Economics 19, 169-189.
De Long, J. B., A. Shleifer, L. H. Summers, and R. J. Waldmann, 1990a, Noise trader risk in financial markets, Journal of Political Economy 98, 703-738.
Draper, D. W., 1985, The small public trader in futures markets, In A.E. Peck (ed.), Futures Markets: Regulatory Issues (pp.211-269). Washington, DC: American Enterprise Institute for Public Policy Research.
Fisher, K. L., and M. Statman, 2000, Investor sentiment and stock returns, Financial Analysts Journal 56, 16-23.
Granger, C. W. J., 1969, Investigating causal relation by econometric and cross-sectional method, Econometrica 37, 424-438.
Hirshielfer, D., 2001, Investor psychology and asset pricing, Journal of Finance 56, 1533-1598.
Hirshleifer, D., and Shumway, T., 2003, Good day sunshine: Stock returns and the weather, Journal of Finance 58 (3), 1009-1032.
Kamstra, M.J., Kramer, L.A., and Levi, M.D., 2003, Winter blues: A SAD stock market cycle, American Economic Review 93(1), 324-333.
Neil, H., 1960, The art of Contrary Thinking, Caldwell, OH: Caxton Printers.
Newey, Whitney K. , and Kenneth D. West, 1987, A simple, positive semi-positive, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703-708
Roll, R., 1984, Orange juice and weather, American Economic Review 74, 861-880.
Sander D. R., S. H. Irwin, and R. M. Leuthold, 2003, The Theory of Contrary Opinion: A Test Using Sentiment Indices in Futures Markets, Journal of Agribusiness 21(1), 39-64
Saunders, E.M.J., 1993, Stock prices and well street weather, American Economic Review 83, 1337-1345.
Shleifer, A. and Vishny, R., 1997, A survey of corporate governance, Journal of Finance (June), 737-783.
Shleifer, A., 2000, Inefficient markets: An introduction to behavioral finance, Oxford University Press, Oxford, UK.