This study examines how speculative and hedging sentiments influence the returns and volatilities of energy futures markets. We construct speculative and hedging sentiment indices based on the weekly data of fund and commercial positions of four energy futures: crude oil, heating oil, gasoline, and natural gas, traded on the New York Mercantile Exchange (NYMEX) from 15 January 2013 to 5 February 2019. Our study demonstrates that speculative sentiment generates greater market fluctuations in the energy futures markets than hedging sentiment; and, further, speculative sentiment stimulates a reversal effect on the returns of crude oil futures. Moreover, speculative sentiment exerts positive systemic risk compensation on the four futures' returns, whereas hedging sentiment alleviates volatilities in the energy futures markets. Most notably, distinguishing it from the leverage effect in stock markets, the speculative sentiment in the energy futures markets is influenced more by good than by bad news; while hedging sentiment exhibits emotional neutrality, as opposed to its impact on stock markets as reported in the literature. Additionally, the positive hedging sentiment in crude oil futures demonstrates significant systemic risk compensation, whereas the three other futures do not have an influence, confirming the prevalence of speculation in hedging transactions in crude oil futures. Our further analysis shows cross-market volatility spillover effects, among which speculative sentiment inherent in crude oil futures causes volatility spillovers to the three other futures, while hedging sentiment has no such effect. Our study has implications for overseeing international energy futures markets, providing regulators with evidence that will facilitate the development of effective strategies to strengthen market supervision.

这项研究探讨了投机和套期保值情绪如何影响能源期货市场的回报和波动性。我们基于2013年1月15日至5月5日在纽约商品交易所（NYMEX）交易的四种能源期货（原油，取暖油，汽油和天然气）的基金和商业头寸的每周数据，构建投机和避险情绪指数。 2019年2月。我们的研究表明，投机情绪比对冲情绪在能源期货市场产生更大的市场波动；而且，投机情绪刺激了原油期货收益的逆转效应。此外，投机情绪对四种期货的收益产生积极的系统性风险补偿，而对冲情绪则减轻了能源期货市场的波动。最为显着地，将其与股票市场的杠杆效应区分开来，能源期货市场的投机情绪受利大于弊。套期保值情绪表现出情感中立，这与文献报道的对股市的影响相反。此外，原油期货中积极的套期保值情绪表明存在重大的系统性风险补偿，而其他三个期货均未产生影响，这证实了在原油期货中进行套期保值交易的投机行为盛行。我们的进一步分析显示了跨市场的波动溢出效应，其中原油期货固有的投机情绪导致了其他三个期货的波动溢出，而避险情绪则没有这种效应。