中文摘要：

本文运用结构断点测算法,识别了原油期货价格的结构性转变过程,进而针对投资者聚合问题,创新性地从交易行为的实质出发,研究了五类异质投资者情绪在每个结构转变阶段分别对原油期货市场收益和收益波动的冲击效应。研究发现：原油期货价格在近十年呈现出三次明显的结构性转变,其动态轨迹表现为四个不同阶段;投资者情绪是影响原油期货市场收益的重要系统性因素,其冲击效应在四个阶段由大到小依次为高位震荡期、金融危机期、泡沫破裂期以及泡沫累积期;原油期货市场存在稳定的杠杆效应,在高位震荡期表现尤为突出;管理基金的投机活动已使其成为原油期货价格变动的引导者,生产批发商是市场上最坚定的套期保值者,互换交易商并非借套保之名行投机之实;投资者情绪波动是构成原油期货市场风险的显著性因素,管理基金代表的投机力量起到了稳定市场的作用。

英文摘要：

This study uses the structural breakpoint method to identify the structural change process of crude oil futures＇ price. For the problem of investor aggregation, this study innovatively investigates the shock effects of five categories of heterogeneous investors＇ sentiment on returns and returns volatility of crude oil futures market in each stage of structural transformation from the nature of the transaction behavior. It is found that crude oil futures＇ price occurs three obvious structural changes in the past ten years, and its dynamic track shows four different stages. Investors＇ sentiment is an important system factor influencing crude oil futures market returns, the shock effect of it on four stages in descending sequence were the fluctuation in high position period, the financial crisis period, the bubble burst period and the accumulation of the bubble period.And there is a stable leverage effect in crude oil futures market, which performs best in fluctuation in high position period. Speculation of Managed Money has made itself a guide to changes in crude oil futures＇ prices, the Producers are the most determined hedgers, Swap Dealers do not speculate in the name of hedging. The volatility of investors＇ sentiment are significant factors constituting the risk of crude oil futures market, and the speculative power represented by Managed Money plays a role in stabilizing the market.