本文基於期貨的價格發現功能之中，來嘗試了解期貨市場對於未來趨勢有何關聯，利用美國西德州中級原油期貨作為研究對象，作成方向性變數和隱含能量變數兩種，並將基差離散程度區分為三等份來探討在不同情緒狀態下的各種影響，研究期間為西元2009年1月2號到西元2012年9月3號(共923筆資料)之日資料，並且採用羅吉斯迴歸來分析，實證結果如下：(1)在研究期貨價格及未平倉量對於未來漲跌方向的影響問題時，同時考量到動量概念與基差離散程度的模型，在預測率及解釋能力方面，大致上優於不考量的模型。(2)未平倉量在數據中有著擴大方向性變數的影響力。(3) 在期貨的價格發現功能理，發現到其中的方向性變數必須和隱含能量變數相結合才可以凸顯其作用，更甚於必須讓隱含能量變數足夠大的情況時，才會讓方向性變數發揮其效果， Based on the futures price discovery function ,we want to understand the relationship between the market information of futures and future trend of spot price. This study selects the West Texas intermediate crude oil as a sample. We organize the direction variables and the implied energy variables by the basis and open interest to study their influences on the future direction of future spot price movements by the logistic regression model. The selection period was from 2th of January 2009 to 12th of August 2012. The empirical analysis of this study revealed the following: (1) For studying the problem about the relationship of the market information of futures and future direction of future spot price movement, considering the momentum concept and average absolute value of basis are necessary.(2) Open interest can strengthen the effects of directional variables. (3) The future price discovery function caused by the direction variable only occurred when the implied energy variables are large enough.
