| Summary: | 碩士 === 東海大學 === 財務金融學系 === 100 === In this paper, we investigate the effect of open interests by type of trader on return volatility in five foreign currency futures options markets, and also examine information for different traders. We use Commitments of Traders (COT) data to establish the total open interest ratio and the ratio of the net site-based measure, and apply the ARDL cointegration method to deal with the inconsistency of order problem. The empirical results indicate that the open interest of non-commercial traders has negative relationship with volatility in the long-term equilibrium, but the position of commercial traders has a positive relationship with the volatility in the long term. We also examine whether herding behavior exists among traders in short run. Using the net position change for traders as the dependent variable, we analyze whether the traders can refer other traders’ position and thus adjust their own position. The empirical results show that the change in the net position for non-commercial trader was affected by the lag change in other traders’ position, resulting in reverse herd behavior. Overall, long- and short-term trading behavior for non-commercial traders is consistent to the noise trader theory of Black (1986), but the behavior of commercial traders is only partially consistent to the noise trader theory.
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