| Summary: | 碩士 === 中原大學 === 企業管理研究所 === 97 === Along with the price of crops, food and energy continues to grow rapidly, investors jump into futures market in order to obtain an excess profit in the futures market. Momentum and contrarian investment strategies are important in academic and practical fields. This study constructs winners and losers portfolios based on the finding of De Bondt & Thaler（1985）and attempts to analyze and compare the performance of contrarian strategies in the American Commodity Futures Markets.
This work uses the contrarian strategy to examine the performance of 20 commodity futures in the American Commodity Futures Markets. This investigation also analyzes the investment performance of contrarian strategy among agricultural, soft, energy, metals and livestock futures. Furthermore, this study analyzes and compares investment performance based on different trading activities. The empirical results are summarized below：
1. Contrarian strategies outperform momentum strategies when investors invest in American commodity futures.
2. This study finds that the contrarian strategies produce significantly positive abnormal returns over a half-year holding period for agricultural, soft, energy and livestock futures.
3. Empirical finding indicates that contrarian strategies one useless for metals futures.
4. Regarding the impact of the changes in trading volume on contrarian strategies, this work finds that only 60 weeks in high-volume group and 9 and 12 weeks in low-volume group have positive effects. The other high-volume and low-volume groups do not have significantly positive returns. This fact suggests that contrarian strategies are not very useful when investors invest in American commodity futures based on the trading volume.
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