財務理論一直以來都在探討著投資人的行為、偏好與心理因素，從投資人的個人偏好以及意見分歧的程度，進而瞭解到財務市場上股價的瞬息萬變與趨勢變化。本篇研究的主要目的，在於探討投資人的異質信念，是否會造成特定的投資行為或影響股票市場的績效。許多過去的文獻或研究報告，提供了許多方法或變數來代替投資人的異質信念，其中以期貨市場中的未平倉量變數較為近期廣泛的使用。本研究亦使用了未平倉量來當作投資人異質意見的代理變數，進而探討不同的假設與實證分析。
本篇論文分析的國家為台灣、日本和美國，分別以台灣加權股價指數(TAIEX)、東京證券交易所指數(TOPIX)以及史坦普500指數(S&P500)之期貨和現貨資料來進行研究與分析。根據Miller (1977年)的研究指出，在景氣繁榮的時期，一旦投資人意見愈分歧時愈使得股票報酬增加；相反的，市場為空頭時期，反而會使得股票報酬減少。因此本篇論文的主要實證研究為投資人的異質意見在景氣較好或景氣較差的二個情況下，是否與股票報酬之間有特定的關係。另外，本篇研究亦探討了投資人意見分歧與股票市場交易活動、股票價格泡沫之間關係與連動性。

This study examines whether investors'' heterogeneous beliefs affect return behavior and price performance of a stock market. This research borrows the open interest of stock index futures contract as the proxy for the degree of investors’ heterogeneous beliefs. I study the Japanese, Taiwanese, and the U.S. markets using TOPIX, TAIEX and S&P500, respectively, to represent the aggregate stock performance for each market. I examine the degree of heterogeneous opinions in relation to stock performance during the bull market and the bear market. The result is in partial support to the existing theories. In addition, the degree of heterogeneous opinions is demonstrated to have significant relationships with the trading volume and the level of speculative price bubble of the market.

Content
1. Introduction 1
2. Literature review 3
2.1 Divergence of opinion 3
2.2 Trading activities 4
2.3 Price bubble .5
2.4 Expiration effect 6
3. Data and methodology 7
3.1 Date resources and descriptive statistics 7
3.2 Definition of variables 8
3.3 Empirical test 9
4. Empirical result 12
4.1 Relation between divergence of opinion and market return 12
Taiwan 13
Japan 13
U.S. 13
Summary 13
4.2 Relation between divergence of opinion and trading activities 14
Taiwan 14
Japan 14
U.S. 15
Summary 15
4.3 Relation between divergence of opinion and price bubble 15
Taiwan 15
Japan 15
Summary 16
5. Conclusion 17
6. Reference 18

Figure and Table
Table 1 The launch date of futures markets for specific contract 20
Table 2 Descriptive statistic of spot and futures trading activities 21
Table 3(a) Divergence of opinion & market return for Taiwan 22
Table 3(b) Divergence of opinion & market return for Japan 24
Table 3(c) Divergence of opinion & market return for U.S 26
Table 4(a) Divergence of opinion & trading activities for Taiwan 28
Table 4(b) Divergence of opinion & trading activities for Japan 30
Table 4(c) Divergence of opinion & trading activities for U.S 32
Table 5(a) Divergence of opinion & price bubble for Taiwan 34
Table 5(b) Divergence of opinion & price bubble for Japan 35
Figure 1. Mean daily open interest contracts by year for each country 36
Figure 2. A characteristic of day-to-delivery for open interest of each contract 36
Figure 3. Compare to each adjustments method of open interest series (ie. S&P 500) 37

Bessembinder, H., Chan, K., Seguin, P. J., 1996, “An empirical examination of information, differences of opinions, and trading activity”, Journal of Financial Economics, #40, 105-134
Chang, E. C., Cheng, J. W., Khorana, A., (2000), “An examination of herd behavior in equity markets: An international perspective”, Journal of banking & finance, #24, 1651-1679
Chen, N. F., Cuny, J. C., & Haugen, A. R., 1995, “Stock Volatility and the Levels of the Basis and Open Interest in Futures Contracts”, The Journal of Finance, #12, 281-300.
Houge, T., Loughran, T., Suchanek, G., Yan, X., (2001) Divergence of opinions, uncertainty, and the quality of initial public offerings, financial management, 5-23.
Leistikow, D., (1989) “Announcements and futures price variability”, Journal of futures markets, #6, 477-486,
Miller, M., (1977) “Risk, Uncertainty, and Divergence of Opinion”, Journal of Finance, #32, 1151–68.
Moser, T. J. (1994) “A note on the Crash and Participation in Stock Index Futures”, Journal of Futures Markets, #14, 117-19.
Rouwenhorst, K. G., (1999), “Local return factors and turnover in emerging stock markets”, The journal of finance, #4, 1439-1464
Singal, V., Kim E. H., (2000), “Stock markets openings: Experience of emerging economics”, #73, 25-66.
Scheinkman, J., Xiong, W., (2003) “Overconfidence and Speculative Bubbles”, Journal of Political Economy #111, 1183-1219.
Scheinkman, J., Xiong, W., (2004) “Heterogeneous beliefs, speculation and trading in financial markets”,. Paris-Princeton Lectures on Mathematical Finance, 217-250.
Senchack, A.J., Starks, L. (1993) Short sale restrictions and market reaction short-interest announcement, Journal of Financial and Quantitative Analysis, #28, 177-194.
Wang, C., Yu, M., (2004) “Trading activity and price reversals in futures markets”, Journal of banking & finance, #28, 1337-1361.
Woolridge, J. R., Dickinson, A., (1994) “Short selling and common stock prices”, Financial Analysts Journal, 50, 20-28.