大宗商品期貨長期被生產者及消費者當成避險的工具，並且近年來是深受投資人喜愛的資產類別，可為投資組合帶來多樣化的好處。自2004年起，大量資金從金融機構、保險公司、養老基金等流入商品期貨市場，促使商品期貨市場金融化，使得價格行為及交易量都產生了大幅度的改變。在期貨市場中，握有現貨部位的商業交易者為非商業交易者提供流動性並賺取流動性溢酬，於金融危機時期或是商品價格波動率上升時，商業交易者提供流動性的意願降低，非商業交易者須支付更高的成本才能獲取流動性。本文自Bloomberg和CFTC取得商品期貨交易資料進行研究，探討商品期貨流動性供給者提供流動性的意願在金融化前後是否有產生改變。
本研究發現商品期貨市場中的商業交易者為逆勢交易者，非商業交易者和其他交易者為順勢交易者，三者順逆勢交易行為在金融化前後皆相同，但由於市場參與者的數量與種類增加，使得市場深度及流動性上升，因此在金融化後各類交易者順逆勢交易的幅度皆顯著下降。商業交易者於金融化後的危機期間持續為非商業交易者提供流動性，本研究進一步探討可能之原因，發現唯有編列於指數內的商品溢酬發生改變，加大了指數投資者於危機期間為了調整投資部位而增加短期流動性的需求之可能性。

Commodity futures have long been regarded as hedging tools by producers and consumers, and in recent years, they have become increasingly popular among investors as an asset class that offers diversification benefits to investment portfolios. Since 2004, a significant amount of capital has flowed into the commodity futures market from financial institutions, insurance companies, pension funds, and others, leading to the financialization of the market and substantial changes in price behavior and trading volume. In the commodity futures market, commercial traders who hold spot positions provide liquidity to noncommercial traders and earn liquidity premiums. During financial crises or periods of increased price volatility, commercial traders become less willing to provide liquidity, requiring non-commercial traders to pay higher premiums to obtain liquidity. In this study, we examine commodity futures trading data obtained from Bloomberg and CFTC to investigate whether there have been changes in the willingness of liquidity providers to supply liquidity before and after the financialization.
This study found that commercial traders in the commodity futures market act as contrarian traders, while noncommercial traders and nonreportables act as momentum traders. The contrarian and momentum trading behaviors of these three groups remained consistent before and after the financialization. However, the increase in the number and types of market participants resulted in higher market depth and liquidity, leading to a significant decrease in the extent of both contrarian and momentum trading by all types of traders after financialization. Commercial traders continued to provide liquidity to noncommercial traders during crisis after financialization. This study further explores the possible reasons and finds that only the premiums of the commodities listed in the index have changed, which increases the possibility that index investors need to increase short-term liquidity demand in order to adjust their investment positions during the crisis.

頁次
論文審定書 i
致謝 ii
中文摘要 iii
Abstract iv
目錄 vi
圖目錄 viii
表目錄 ix
第一章 緒論 1
1.1研究動機 1
1.2研究目的 3
1.3研究流程 5
第二章 文獻回顧 6
2.1商品市場金融化 6
2.2商品期貨流動性 7
2.3金融危機 9
第三章 資料與研究方法 11
3.1 資料說明 11
3.2變數定義 11
3.2.1主要變數 12
3.2.2其他變數 13
3.2.3控制變數 15
3.3實證模型 16
第四章 實證分析 18
4.1敘述統計 18
4.2金融化對交易者行為造成之影響 21
4.3金融化前後股市崩盤對流動性供給造成影響之改變 23
4.4金融化後指數內外商品之差異 29
4.5穩健性測試 32
第五章 結論 36
參考文獻 37
附錄一 40

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