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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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1. Introduction
Open interest is the total number of positions for a derivatives contract that are
“opened” and not yet liquidated by offsetting or fulfilled by delivery. Open interest can be
calculated only for contractual instruments, mostly derivatives, but for spot assets. Each open
interest is formed by a long (buy) position and a short (sell) position, matched through the
trading process. For instance, the open interest of the Taiwan Stock Exchange Capitalization
Weighted Stock Index Futures (TAIEX Futures; TX) on January 6, 2005 was 47,188,
representing 47,188 long positions and 47,188 short positions at the end of that day.
Open interest is used extensively in academic literature as a proxy of market liquidity
(Bessembinder and Seguin, 1992), market depth (Bessembinder and Seguin, 1993;
Ragunathan and Peker, 1997; Watanabe, 2001), trading (hedging) demand (Chen, Cuny, and
Haugen, 1995; Chang, Chou, and Nelling, 2000; Pan, Liu, and Roth, 2003), the difference in
traders’ opinions (Bessembinder, Chan, and Seguin, 1996), or investors’ trading opinions for
political elections (Chen and Tang, 2009). It is amazing that a single variable is interpreted in
so many different ways and serve for so many purposes. However, studies rarely provide
justification for the appropriateness of using open interest as the proxies it is claimed to be.
As a result, there is lack of consensus regarding the information content of open interest. It is
of our interest to clarify, at least, some information contents of open interest.
Open interest is found to be empirically related to volatility in many studies, but the
interpretations were far from unanimous. Figlewski (1981) views open interest as market
size and reports positive relationship between open interest and spot volatility. Chen et al.
(1995) and Chang et al. (2000) argue that open interest represents demand for hedging. They
postulate a positive relationship between open interest and spot market volatility. On the
other hand, Bessembinder and Seguin (1992, 1993), Watanabe (2001), Ripple and Moosa
(2009) suggest that open interest should be a proxy for liquidity or market depth, thus is
negatively related to futures volatility.
A number of studies emphasize the predictability of open interest to other economic
variables. For instance, Girma and Mougoue (2002), Yang, Bessler, and Fung (2004), and
Yen and Chen (2010), respectively, test the predictability of open interest to futures spreads
volatility, futures price and future volatility. Hong and Yogo (2010) assert that open interest,
as a proxy of capital inflows of commodity futures, predict commodity returns. In addition,
they find that open interest forecasts macroeconomic variables such as inflation and bond
return in long term. The multiple uses of open interest undoubtedly make it interesting,
however, increase the confusion with respect to its true information role. Motivated by the