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期貨未平倉量的資訊內涵及其交易活動之研究
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If open interest reflects participation in the futures markets, a greater open interest
should be accompanied by better market liquidity, which can be measured by larger volume,
more depth, and smaller market impact costs. Our first testable implication is constructed as
follows:
Testable implication (1):
Open interest is positively associated with various liquidity
measures.
Bessembinder and Seguin (1993) partition open interest into expected and unexpected
components using multivariate forecasting methods. The expected open interest primarily
reflects the level at the beginning of one day, and the unexpected open interest captures the
change in open interest due to unanticipated information impacts over the day. In addition,
they assert that the unexpected change in open interest is a proxy for the current willingness
of futures traders to risk capital by providing depths. In an order-driven market like TAIFEX,
market depths come from limit orders submitted for better prices, which could quantify the
willingness of liquidity provision by market participants. If open interest indeed represents
participation, its unexpected component would be positively associated with liquidity
provision that proxies for the willingness to bear risk to participate in the market. Based on
the argument of Bessembinder and Seguin (1993), the second testable implication is
constructed as follows:
Testable implication (2):
Unexpected open interest is positively associated with certain
liquidity measures, particularly depth.
2.2 Hedging Demand
Hypothesis 2: Open interest reflects hedging demand.
One primary function of futures markets is to facilitate hedging against spot market
volatility. As stock volatility surges, there is increasing hedging demand using index futures.
Open interest in index futures increases as more hedgers enter and hold positions.
Bessembinder and Seguin (1993) suggest that many speculators are “day traders” who do not
hold open positions overnight, and hence their trading does not increase open interest.
Consequently, the changes in open interest primarily represent the rise and fall of hedgers’
demand (Lucia and Pardo, 2010; Aguenaou, Gwilym, and Rhodes, 2011). The above
argument suggests that open interest in futures contracts reflect hedging demand on the spot
market.
Literature has viewed aggregate open interest a proxy for trading demand for all