本研究試圖了解期貨市場的籌碼資訊是否會對現貨市場具有影響力，觀察的對象鎖定具有資訊領先以及資金優勢的大額交易者，我們以期貨大額交易者未平倉量資訊為基礎，進而轉換為情緒指標，觀察強弱程度不同的大額交易者情緒是否會對未來現貨市場趨勢有不同的影響？過去研究指出機構法人的市場擇時能力良好，並且我們假設大額交易者具有資訊領先和資金優勢，最後以行為財務理論的角度觀察，現貨市場單日不同強弱的漲跌，大額交易者情緒是否會受到單日現貨市場的劇烈漲幅的影響？實證結果表示大額交易者情緒對於現貨市場的影響力十分明顯，而現貨市場的單日劇烈漲跌則對大額交易者情緒的影響不明顯，代表大額交易者情緒不易受市場波動干擾。 This study aims to investigate whether the information content of futures open interest influences the spot market. The sample comprises information-informed and capital-abundant institutional investors in large future traders. We transfer the futures open interest in large future traders into sentimental indicators to observe whether the sentimental magnitude variations of large future traders have different effects on the spot market tendency. Based on the assumptions that institutional investors possess market timing abilities and predominances of information and financial sufficiency as indicated by past researches. From the prospect of behavioral finance theory, we assess whether the intra-day price fluctuation will impact the sentiments of institutional investors. The empirical result shows that the sentiments of institutional investors have a significant impact on the spot market, whereas the intra-day price fluctuation in the spot market has less pronounced effect on the sentiments of institutional investors, there evidences suggest that the sentiments of institutional investors are relatively steady to comparison with other market participants.
