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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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volume, consistent with the implications suggested in Bessembinder et al. (1996). Using the
absolute difference of bid-side and ask-side depths as a proxy for divergence in opinions, we
find that open interest increment is associated with more symmetric depths on two sides of
the order book, whereas open interest decrement is accompanied by a larger discrepancy
between the buy- and sell-side of the order book. Evidence shows that a large open interest
signifies the more divergence in traders’ outlook.