Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/256956 
Year of Publication: 
2019
Citation: 
[Journal:] Economies [ISSN:] 2227-7099 [Volume:] 7 [Issue:] 1 [Article No.:] 24 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-10
Publisher: 
MDPI, Basel
Abstract: 
This study examined the efficacy of the Put-Call Ratio (PCR), a widely used information ratio measured in terms of volume and open interest, in predicting market return at different time scale. Volume PCR was found to be an efficient predictor of the market return in a short period of 2.5 days and open interest PCR in a long period of 12 days. Thus, traders and portfolio managers should use the appropriate PCR depending upon the time horizon of their trade and investment. The results are robust even after controlling for the information generated from the futures market.
Subjects: 
Put-Call Ratio
volume
open interest
frequency-domain roiling causality
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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