Put–Call Ratio Volume vs. Open Interest in Predicting Market Return: A Frequency Domain Rolling Causality Analysis

Put–Call Ratio Volume vs. Open Interest in Predicting Market Return: A Frequency Domain Rolling Causality Analysis

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...

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Main Authors: Sangram Keshari Jena, Aviral Kumar Tiwari, Amarnath Mitra
Format: Article
Language:English
Published: MDPI AG 2019-03-01
Series:Economies
Subjects:
Put–Call Ratio
volume
open interest
frequency-domain roiling causality
Online Access:https://www.mdpi.com/2227-7099/7/1/24
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spelling doaj-d3ff5ba3efc04b53a8e96329bd1258de2020-11-24T22:29:48ZengMDPI AGEconomies2227-70992019-03-01712410.3390/economies7010024economies7010024Put–Call Ratio Volume vs. Open Interest in Predicting Market Return: A Frequency Domain Rolling Causality AnalysisSangram Keshari Jena0Aviral Kumar Tiwari1Amarnath Mitra2Department of Finance, IBS Hyderabad, IFHE University, Hyderabad 501203, IndiaDepartment of Finance, Control and Law, Montepellier Business School, 34000 Montepelllier, FranceDepartment of Operations and Quantitative Methods, International Management Institute, New Delhi 110016, IndiaThis 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.https://www.mdpi.com/2227-7099/7/1/24Put–Call Ratiovolumeopen interestfrequency-domain roiling causality
collection DOAJ
language English
format Article
sources DOAJ
author Sangram Keshari Jena
Aviral Kumar Tiwari
Amarnath Mitra
spellingShingle Sangram Keshari Jena
Aviral Kumar Tiwari
Amarnath Mitra
Put–Call Ratio Volume vs. Open Interest in Predicting Market Return: A Frequency Domain Rolling Causality Analysis
Economies
Put–Call Ratio
volume
open interest
frequency-domain roiling causality
author_facet Sangram Keshari Jena
Aviral Kumar Tiwari
Amarnath Mitra
author_sort Sangram Keshari Jena
title Put–Call Ratio Volume vs. Open Interest in Predicting Market Return: A Frequency Domain Rolling Causality Analysis
title_short Put–Call Ratio Volume vs. Open Interest in Predicting Market Return: A Frequency Domain Rolling Causality Analysis
title_full Put–Call Ratio Volume vs. Open Interest in Predicting Market Return: A Frequency Domain Rolling Causality Analysis
title_fullStr Put–Call Ratio Volume vs. Open Interest in Predicting Market Return: A Frequency Domain Rolling Causality Analysis
title_full_unstemmed Put–Call Ratio Volume vs. Open Interest in Predicting Market Return: A Frequency Domain Rolling Causality Analysis
title_sort put–call ratio volume vs. open interest in predicting market return: a frequency domain rolling causality analysis
publisher MDPI AG
series Economies
issn 2227-7099
publishDate 2019-03-01
description 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.
topic Put–Call Ratio
volume
open interest
frequency-domain roiling causality
url https://www.mdpi.com/2227-7099/7/1/24
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AT aviralkumartiwari putcallratiovolumevsopeninterestinpredictingmarketreturnafrequencydomainrollingcausalityanalysis
AT amarnathmitra putcallratiovolumevsopeninterestinpredictingmarketreturnafrequencydomainrollingcausalityanalysis
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