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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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hypothesis that open interest can reflect the divergence in traders’ opinions.
In sum, we find that trading volume is affected asymmetrically by the upward and
downward movement in open interest. The result supports the hypothesis that changes in
open interest proxy for changes in the divergence of opinion across traders. Moreover, open
interest increment (decrement) is associated with smaller (larger) depth imbalance between
buy-side and sell-side of the limit order book. It indicates that the divergence in opinion,
proxied by a small depth imbalance, is associated with greater open interest. Result again is
consistent with the hypothesis that open interest has information content about the
divergence/convergence in traders’ opinions.
Table 6 Regressions of Proxies for Divergence in Opinion on Signed Open Interest
Changes
(7)
(8)
Model (7)
Model (8)
VOL
t
|BDEP
t
– ADEP
t
|
Intercept (
α
)
-10,146
a
(-3.26)
24.46
a
(10.57)
Open interest
Increment (
β
1
)
5.9722
a
(7.86)
-0.0006
(-0.98)
Decrement (
β
2
)
-3.4629
a
(-5.74)
0.0012
b
(2.38)
EOI
t
(
θ
)
1.7742
a
(44.38)
-0.00005
(-1.12)
UOI
t
(
η
)
-3.2117
a
(-5.12)
0.0014
b
(2.51)
DEP
t
(
φ
7
)
-54.8340
a
(-13.50)
VOL
t
(
φ
8
)
-0.0002
a
(-10.00)
TTM
t
(
γ
)
301.23
a
(4.78)
0.2293
a
(4.27)
Monday (
κ
1
)
-3,635
b
(-2.05)
1.6656
(1.10)
Tuesday (
κ
2
)
-1,265
(-0.73)
2.2960
(1.55)