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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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and smaller market impact costs. It supports the implication that open interest is positively
associated with market liquidity. Results are consistent with the hypothesis that open interest
reflects the participation of traders.
Table 3 Regressions of Liquidity Proxies on Open Interest of Index Futures
(1)
(2)
Liquidity
Proxies
Model (1)
Model (2)
VOL
DEP ILLQ Amivest
VOL
DEP ILLQ Amivest
Intercept (
α
)
-8,573
a
(-2.73)
361.50
a
(26.60)
465.63
a
(19.26)
-4,529
(-0.65)
-8,533
a
(-2.74)
361.25
a
(26.59)
465.57
a
(19.25)
-4,513
(-0.65)
OI
t
(
β
1
)
1.74
a
(45.45)
0.0006
b
(2.43)
-0.0032
a
(-7.72)
0.034
(0.29)
EOI
t
(
β
2
)
1.776
a
(46.01)
0.0006
c
(2.10)
-0.0031
a
(-7.47)
0.0223
(0.19)
UOI
t
(
φ
)
0.891
a
(5.47)
0.0018
b
(2.17)
-0.0038
b
(-3.01)
0.2104
(0.58)
DEP
t
(
δ
)
-58.64
a
(-14.23)
-0.1099
a
(-3.32)
33.40
a
(3.51)
-57.15
a
(-13.93)
-0.1094
a
(-3.30)
33.24
a
(3.49)
VOL
t
(
η
)
-0.0015
a
(-14.23)
-0.0012
a
(-7.26)
0.3456
a
(7.31)
-0.0014
a
(-13.93)
-0.0012
a
(-7.27)
0.348
a
(7.32)
TTM
t
(
γ
)
426.77
a
(6.90)
1.59
a
(5.13)
-0.5613
(-1.17)
-322.9
b
(-2.34)
356.80
a
(5.68)
1.67
a
(5.32)
-0.6112
(-1.25)
-309
b
(-2.20)
Monday (
κ
1
)
-2,204
(-1.23)
-18.10
b
(-2.03)
-2.79
(-0.20)
1,216
(0.31)
-2,511
(-1.41)
-17.62
b
(-1.97)
-3.05
(-0.22)
1,288
(0.32)
Tuesday (
κ
2
)
-466
(-0.26)
0.37
(0.04)
-14.63
(-1.08)
2,158
(0.55)
-563.96
(-0.32)
0.52
(0.06)
-14.71
(-1.08)
2,180
(0.56)
Thursday (
κ
3
)
2,977
b
(1.69)
-0.85
(-0.10)
-23.30
c
(-1.72)
-1,223
(-0.31)
337.57
(0.19)
2.72
(0.30)
-25.31
c
(-1.80)
-670
(-0.17)
Friday (
κ
4
)
1,067
(0.60)
-5.38
(-0.61)
-4.62
(-0.34)
-142.10
(-0.04)
597.22
(0.34)
-4.75
(-0.54)
-4.97
(-0.36)
-45.21
(-0.01)
H
0
: All
κ1j
= 0 1.22
1.49
1.14
0.22
1.02
1.56
1.14
0.18
H
0
:
β
2
=
ϕ
2
7.30
a
3.37
c
0.01
0.48
Adj. R
2
0.5577 0.1366 0.1468 0.0464 0.5590 0.1376 0.1464 0.0462
Note: The OLS regression Model (1) and (2) examine the implications of Hypothesis 1 by regressing
the proxies of liquidity variables on open interest. The dependent variables are
VOL
t
, (volume of