期貨未平倉量的資訊內涵及其交易活動之研究

The Information Content of Futures Open Interest and Its Relation to Trading Activities

本研究分析台灣股價指期貨未平倉量的資訊內涵，結果顯示未平倉量可反映市場參與程度、避險需求、與投資人意見分歧三種資訊內涵。未平倉量增加伴隨市場流動性提升，包括成交量、市場深度、與市場衝擊成本皆隨未平倉量增加而顯著改善，此發現顯示未平倉量具有詮釋市場參與程度的資訊內涵。實證也發現未平倉量與現貨波動性顯著同方向變動，代表未平倉量可反映市場風險增大時投資人的額外避險需求。此外，未平倉量之增量和減量對成交量影響不同，對買賣方市場深度之差也有不對稱的影響，此發現符合未平倉量可反映投資人意見分歧的隱含意義。

This study investigates the information content of open interest, using the index futures traded on the Taiwan market. We find that open interest reflects market participation, hedging demand and divergences in traders' opinions. Evidence shows that increases in open interest are accompanied by greater trading volume, larger depth, and lower market impact costs, indicating that higher open interest represent more market participation, which enhances liquidity. The hedging demand hypothesis is supported by the findings of significantly positive relationships between open interest and three spot volatility proxies. We also find asymmetric effect of upward versus downward open interest to trading volume, as well as to depth imbalance between buy- and sell-side of the order book. Results are consistent with the hypothesis that a large open interest signifies divergence in traders' opinions.