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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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much threat to our results because we have large sample size (2,226 observations) relatively
to the number of parameters (10 parameters,
p
= 1, 3, 19, 20, 21 and
q
= 3, 24, 26, 39, 44) to
be estimated. In our case, interpretation of the decomposed series is unimportant because the
purpose of model is to separate the expected and unexpected components of
OI
series. The
model describes the “expected”
OI
series, whose time series property has never been
discussed in any existing theory or paper. As a result, interpreting the contents and properties
of the decomposed series is less in need for this case (see similar argument in Bessembinder
and Seguin (1993)).
It appears that the advantages of the more precise model outweigh its disadvantages.
For these reasons, we favor the more precise model over the parsimonious ones.
To be concrete, we test the robustness of our main findings using alternative models
with more parsimonious form. We use ARIMA Models (1) to (4) in Table 7 as alternative
models for the decomposition of
OI
. We then used the decomposed series from each
alternative model to perform regressions Model (2), (3), and (4) in Table 3 and 4. The results
of the final model are unaltered except in few occasions.
10
The tests indicate that the
empirical results presented in the manuscript are robust to different models of OI
decomposition.
Table 7 Alternative ARIMA Models for Robustness Analysis
Model
p
(AR terms)
q
(MA terms)
AIC
SBC ACF & PACF Q-statistics
Alternative Models
1
1,2
1
19.37242 19.38012 20,24,44 20(0.000)
2
1,2,3,4,5,6 1,2,3
19.37088 19.39401 20,24,44 20(0.000)
3
1~19
1,2,3
19.34881 19.40563 23,44
44(0.000)
4
1,2,3,19
1,2,3
19.34635 19.36185 20,44
20(0.000)
5
1,3,19,20,21 3,20,24,26,39,44 19.30113 19.32956 40
12(0.085)
13(0.083)
60(0.073)
6
1,3,19,20,21 20,24,26,39,44 19.30276 19.32860 -
11,12…
(>0.020)
7
1,3,20,21 3,20,24,26,39,44 19.30231 19.32815 -
56(0.074)
60(0.03)
Final Model
8
1,3,19,20,21 3,24,26,39,44 19.31195 19.33779 -
-
10 Results for this robustness test are not reported for the purpose of brevity. A summary table of the findings
using alternative decomposition models is available upon request.