本研究主要探討新冠疫情和烏俄戰爭對大宗商品期貨市場中不同類型交易者的交易行為、流動性供需以及市場價格波動的影響。大宗商品包括能源商品、金屬、農產品和軟商品等，而大宗商品的期貨市場在全球經濟中扮演重要角色。過去的研究顯示，商業交易者通常進行逆勢交易，而非商業交易者則偏向順勢交易。然而，重大事件如新冠疫情和烏俄戰爭可能改變交易者的交易行為，進而影響市場的流動性和價格波動。
　　本研究選取2005年1月1日至2024年3月29日期間的數據，涵蓋28種大宗商品，分析商業交易者和非商業交易者在新冠疫情和烏俄戰爭期間的淨交易行為。結果顯示，兩次重大事件均對交易者的行為產生顯著影響。在新冠疫情期間，商業交易者和非商業交易者的逆、順勢交易幅度均明顯下降，顯示危機期間市場的不確定性和恐慌情緒增加，進而使交易者調整其投資和避險策略。在烏俄戰爭期間，影響主要集中在能源和農產品期貨市場，商業交易者由流動性供給者轉為需求者，非商業交易者的順勢交易行為也受到抑制與能源和農產品是供應鏈中斷和市場波動中的關鍵角色。本研究結果有助於理解重大事件對大宗商品期貨市場的影響，並為市場參與者在面對類似危機時的決策提供參考。

　　This study primarily investigates the impact of the COVID-19 and the Russia-Ukraine war on the trading behavior, liquidity supply and demand, and market price volatility of different types of traders in the commodity futures market. Commodities include energy, metals, grain, and soft commodities, all of which play a significant role in the global economy. Previous research has shown that commercial traders usually engage in contrarian trading, while non-commercial traders tend to follow momentum trading. However, major events such as the COVID-19 and the Russia-Ukraine war may alter traders' behavior, thereby affecting market liquidity and price volatility.
　　This study selects data from January 1, 2005, to March 29, 2024, covering 28 commodities, to analyze the net trading behavior of commercial and non-commercial traders during the COVID-19 and the Russia-Ukraine war. The results show that both significant events have a notable impact on traders' behavior. During the COVID-19, the extent of contrarian and momentum trading by commercial and non-commercial traders respectively decreased significantly, indicating increased market uncertainty and panic during the crisis, leading traders to adjust their investment and hedging strategies. During the Russia-Ukraine war, the impact was mainly concentrated in the energy and agricultural futures markets, where commercial traders shifted from liquidity suppliers to demanders, and the momentum trading behavior of non-commercial traders was also suppressed. Energy and agricultural products played crucial roles amid supply chain disruptions and market volatility. The results of this study contribute to understanding the impact of major events on the commodity futures market and provide a reference for market participants in making decisions during similar crises.

論文審定書 i
摘要 ii
Abstract iii
目錄 iv
圖目錄 vi
表目錄 vii
第一章 緒論 1
（一） 研究背景及動機 1
（二） 研究目的 4
（三） 研究流程 5
第二章 文獻探討 6
（一） 交易者行為、報酬率預測及流動性提供 6
（二） 金融危機 7
第三章 研究設計 10
第一節 資料來源 10
第二節 變數衡量 10
（一） 主要變數 10
（二） 其他變數 11
（三） 控制變數 11
（四） 迴歸模型 12
（五） 穩健性測試 13
第四章 實證分析 14
第一節 敘述統計 14
第二節 相關性分析 14
第三節 迴歸結果 14
（一） 不同交易者的交易行為 14
（二） 疫情期間及烏俄戰爭期間報酬率的可預測性及流動性提供 24
（三） 穩健性測試 33
第五章 結論 47
參考文獻 48

Adekoya, O. B., Oliyide, J. A., Fasanya, I. O., & Oduyemi, G. O. (2022). How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques. Resources Policy, 70, 101927.
Ahmed, S., Hasan, M. M., & Kamal, M. R. (2023). Russia-Ukraine crisis: The effects on the European stock market. European Financial Management, 29(4), 1078-1118.
Baker, S. R., Bloom, N., Davis, S. J., Kost, K. J., Sammon, M. C., & Viratyosin, T. (2020). The unprecedented stock market impact of COVID-19. National Bureau of Economic Research.
Bessembinder, Hendrik, 1992, Systematic risk, hedging pressure, and risk premiums in futures markets, Review of Financial Studies 5, 637–667.
Bonnier, J. B. (2021). Speculation and informational efficiency in commodity futures markets. Journal of International Money and Finance, 117, 102457.
Brunnermeier, M. K., & Pedersen, L. H. (2009). Market liquidity and funding liquidity. The review of financial studies, 22(6), 2201-2238.
Caldara, D., & Iacoviello, M. (2022). Measuring geopolitical risk. American Economic Review, 112(4), 1194-1225.
Cheng, I. H., Kirilenko, A., & Xiong, W. (2015). Convective risk flows in commodity futures markets. Review of Finance, 19(5), 1733-1781.
Chong, T. T. L., Tsui, S. C., & Chan, W. H. (2017). Factor pricing in commodity futures and the role of liquidity. Quantitative Finance, 17(11), 1745-1757.
Chordia, T., Roll, R., & Subrahmanyam, A. (2002). Order imbalance, liquidity, and market returns. Journal of Financial economics, 65(1), 111-130.
Choudhry, T., 2010. World war II events and the Dow Jones industrial index. J. Bank. Finance 34 (5), 1022–1031.
Erb, Claude, and Campbell Harvey, 2006, The strategic and tactical value of commodity futures, Financial Analyst Journal 62, 69–97.
Farid, S., Fu, X., Zhang, X., Mehmood, H., & Rehman, H. U. (2022). The impact of COVID-19 on commodity markets volatility: Evidence from crude oil and gold prices. Resources Policy, 74, 102235.
Glick, R., & Taylor, A. M. (2010). Collateral damage: Trade disruption and the economic impact of war. Review of Economics and Statistics, 92(1), 102-127.
Guénette, J. D., Kenworthy, P., & Wheeler, C. (2022). Implications of the Russia-Ukraine war for global trade and investment. Journal of International Economics, 137, 103776.
Hameed, A., Kang, W., & Viswanathan, S. (2010). Stock market declines and liquidity. The Journal of finance, 65(1), 257-293.
He, L., Wang, M., & Campbell, R. (2017). The economic cost of non-violent diplomatic disputes between mainland China and Taiwan. Journal of International Financial Markets, Institutions and Money, 47, 36-53.
Hudson, R., Urquhart, A., 2015. War and stock markets: the effect of World War Two on the British stock market. Int. Rev. Financ. Anal. 40, 166–177.
Izzeldin, M., Muradoglu, Y. G., Pappas, V., & Sivaprasad, S. (2023). The impact of COVID-19 and the Russia-Ukraine conflict on global financial markets. Journal of International Money and Finance, 120, 102571.
Kamara, A., Lou, X., & Sadka, R. (2008). The divergence of liquidity commonality in the cross-section of stocks. Journal of Financial Economics, 89(3), 444-466.
Kang, W., Rouwenhorst, K. G., & Tang, K. (2020). A tale of two premiums: The role of hedgers and speculators in commodity futures markets. The Journal of Finance, 75(1), 377-417.
Khan, S., Liu, X., Khan, M. K., & Teng, S. (2023). Financial market volatility during the COVID-19 pandemic: Evidence from global stock markets. Economic Modelling, 108, 105714.
Kyle, A. S., & Xiong, W. (2001). Contagion as a wealth effect. The Journal of Finance, 56(4), 1401-1440.
Marshall, B. R., Nguyen, N. H., & Visaltanachoti, N. (2013). Liquidity commonality in commodities. Journal of Banking & Finance, 37(1), 11-20.
Mei, J., & Guo, L. (2004). Political uncertainty, financial crisis and market volatility. European Financial Management, 10(4), 639-657.
Miffre, Joelle, and Georgios Rallis, 2007, Momentum in commodity futures markets, Journal of Banking and Finance 31, 1863–1886.
Pirrong, Craig, 2005, Momentum in futures markets, Working paper, University of Houston.
Rigobon, R., Sack, B., 2005. The effects of war risk on US financial markets. J. Bank. Finance 29 (7), 1769–1789.
Saâdaoui, F., Ben Jabeur, S., & Goodell, J. W. (2022). Causality of geopolitical risk on food prices: Considering the Russo–Ukrainian conflict. Finance Research Letters, 49, 103103.
Schneider, G., Troeger, V.E., 2006. War and the world economy: stock market reactions to international conflicts. J. Conflict Resolut. 50 (5), 623–645.
Shaikh, I. (2022). The impact of COVID-19 on global energy markets: The role of oil prices. Energy Research & Social Science, 81, 102259.
Silvennoinen, A., & Thorp, S. (2013). Financialization, crisis and commodity correlation dynamics. Journal of International Financial Markets, Institutions and Money, 24, 42-65.
Taera, E. G., Setiawan, B., Saleem, A., Wahyuni, A. S., Chang, D. K., Nathan, R. J., & Lakner, Z. (2023). The impact of Covid-19 and Russia–Ukraine war on the financial asset volatility: Evidence from equity, cryptocurrency and alternative assets. Journal of Open Innovation: Technology, Market, and Complexity, 9(3), 100116.
Tanin, T., Apergis, N., & Gupta, R. (2021). The impact of the COVID-19 pandemic on stock markets: Evidence from South Africa. Journal of Behavioral and Experimental Finance, 30, 100495.
Uddin, G. S., Chowdhury, M. A. F., Anderson, K., & Chaudhuri, K. (2021). Stock market volatility and COVID-19 pandemic: Evidence from Australia. Economic Analysis and Policy, 69, 280-292.
Zhou, B., Xie, W., & Zhang, L. (2022). Impact of the COVID-19 pandemic on stock markets: Evidence from the world major stock indices. Finance Research Letters, 42, 101888.