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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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triggering significant amount of transactions. As opinions converge and prices move toward
equilibrium, speculators are no longer interest in holding positions. They tend to close
exiting positions via off-setting transactions. In such cases, open interest decreases without
discernible volume activity.
According to above discussion, if open interest and volume are both the outcome of
divergence in opinion, we will observe a positive association between open interest and
volume. When opinions converge, we will observe decrease in open interest with less
significant volume changes. The testable implication (5) in Hypothesis 3 is stated as follows:
Testable implication (5):
Increases in open interest are associated with significantly larger
volumes but decreases in open interest have smaller impact on
trading volume.
Hypothesis 3 states that open interest represents divergence in opinion. Here we
propose using the “difference between buy versus sell orders” as a proxy for measuring the
degree of divergence/convergence in traders’ outlook. When a divergence of opinion occurs,
traders who predict a higher equilibrium price submit buy orders while traders who predict a
lower equilibrium price submit sell orders. As a result, limit orders on bid and ask sides of
the market become more symmetrical. In contrast, when opinion converges, limit orders tend
to concentrate on only one side of the market (either bid or ask), as most traders agree with
the direction of price changes and bet on the same side all together. In this sense, we can
reasonably use the difference in buy versus sell depths as a proxy for the divergence in
opinion: a large difference indicates convergence in opinion whereas a symmetric buy and
sell depth represents divergence in opinion. If open interest reflects divergence in opinion, it
is likely to observe higher open interest associated with more equality in buy and sell orders.
Therefore, the testable implication (6) in Hypothesis 3 is as follows:
Testable implication (6):
Open interest increases with the degree of symmetry in bid and
ask depths.
3. Empirical Model and Data
3.1 Data
This study uses data of Taiwan Exchange Stock Index Futures (TAIEX) for the period
from January 2003 to December 2011, a total of 2,226 trading days. We obtain daily open
interest, daily trading volume and intraday order size on the best five bid and ask prices. We
also extract daily high, low, opening and closing prices of the TAIEX spot index for later
calculation of the spot volatility variables. All data are provided by the TEJ (Taiwan