自比特幣誕生以來，加密貨幣的數量出現了爆炸性增長，雖然以太坊在市值方面是第二大加密貨幣，但對這類加密貨幣的研究很少。而本研究所有的週變數將使用周二的收盤價。為了要觀察以太幣期貨報酬率與風險的波動性，本文使用時間序列模型來觀察以太幣期貨報酬率與風險的波動的變化。因此，本篇研究提供了詳細的對於以太坊區塊鍊的概述，以及影響以太幣期貨合約報酬與風險的原因。
本文由究發現以太幣每日現貨價格與每周二期貨價格進行報酬與風險的分析。我們利用了Coindesk網頁所揭露的推特情緒(Twitter Sentiment)，預測以太幣現貨價格風險與報酬是有效的。就以投資人看漲情緒和關注度來說，當樂觀相對於悲觀的推特文章愈多，意即幣圈投資人對於以太幣看漲情緒愈高，相對來說當文章總數量增加，代表幣圈投資人對於以太幣的關注程度愈高。而這些數據反應了投資人的情緒指標以及關注程度會對後續以太幣現貨價格的變化具有預測能力。其次本文也參考了Kang et al. (2020)發現CFTC揭露的COT報告數據建立交易人部位的衡量標準對於預測以太幣期貨風險與報酬是有用。然而與散戶相對比，避險者與投機者是主要的交易市場參與者，對於後兩者的極端的情緒指標會對於後續以太幣期貨價格的變化具有影響能力。
Since the birth of Bitcoin, there has been an explosion in the number of cryptocurrencies. Although ethereum is the second largest cryptocurrency in terms of market capitalization, very little research has been done on this cryptocurrency. All weekly variables in this study will use Tuesday's closing prices. In order to observe the volatility of Ether futures return and risk, this paper uses a time series model to observe the changes in the volatility of Ether futures return and risk. Therefore, this study provides a detailed overview of the Ether blockchain and the reasons that affect the reward and risk of Ether futures contracts.
This paper analyzes the reward and risk by examining the daily spot price and weekly futures price of Ether. We use the Twitter sentiment revealed on the Coindesk website to predict the risk and reward of the spot price of Ether is valid. In terms of investors' bullish sentiment and attention, when the number of optimistic versus pessimistic tweets increases, it means that the bullish sentiment of investors in the cryptocurrency community is higher, and when the total number of posts increases, it means that investors in the cryptocurrency community are more concerned about Ether. These data reflect that the sentiment indicators and the degree of concern of investors will have predictive power for the subsequent changes of the spot price of Ether. Secondly, this paper also refers to Kang et al. (2020), who found that the COT report data revealed by CFTC is useful for predicting the risk and reward of Ether futures by establishing a measure of trader position. However, in contrast to retail investors, risk averse and speculative traders are the main market participants, and extreme sentiment indicators for the latter two have the ability to influence the subsequent changes in Ether futures prices.
