457
Views
3
CrossRef citations to date
0
Altmetric
Special Issue Papers

Index volatility and the put-call ratio: a tale of three markets

, , &
Pages 1983-1996 | Received 01 Feb 2019, Accepted 28 Nov 2019, Published online: 15 Oct 2020

References

  • Baba, Y., Engle, R.F., Kraft, D.F. and Kroner, K.F., Multivariate simultaneous generalized ARCH. Manuscript. Department of Economics, University of California, San Diego, 1990.
  • Bandopadhyaya, A. and Jones, A.L., Measures of investor sentiment: A comparative analysis put-call ratio vs. volatility index. Int. J. Econ. Bus. Res., 2011, 6(8), 27–34.
  • Billingsley, R.S. and Chance, D.M., Put-call ratios and market timing effectiveness. J. Portf. Manag., 2009, 15(1), 25–28.
  • Blau, B.M. and Brough, T.J., Are put-call ratios a substitute for short sales? Rev. Deriv. Res., 2015, 18(1), 51–73.
  • Blau, B.M., Nguyen, N. and Whitby, R.J., The information content of option ratios. J. Bank. Finance, 2014, 43(6), 179–187.
  • Bollen, N.P. and Whaley, R.E., Does net buying pressure affect the shape of implied volatility functions? J. Finance, 2004, 59(2), 711–753.
  • Chan, K., Chan, K.C. and Karolyi, G.A., Intraday volatility in the stock index and stock index futures markets. Rev. Financ. Stud., 1991, 4(4), 657–684.
  • Chan, K.C., Chang, Y. and Lung, P.P., Informed trading under different market conditions and moneyness: Evidence from TXO options. Pac.-Basin Finance J., 2009, 17(2), 189–208.
  • Chan, K., Ge, L. and Lin, T.C., Informational content of options trading on acquirer announcement return. J. Financ. Quant. Anal., 2015, 50(5), 1057–1082.
  • Chang, C.C., Hsieh, P.F. and Lai, H.N., Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange. J. Bank. Financ., 2009, 33(4), 757–764.
  • Chatrath, A., Christie-David, R., Dhanda, K.K. and Koch, T.W., Index futures leadership, basis behavior, and trader selectivity. J. Futures Markets, 2002, 22(7), 649–677.
  • Chen, N.F., Cuny, C.J. and Haugen, R.A., Stock volatility and the levels of the basis and open interest in futures contracts. J. Finance, 1995, 50(1), 281–300.
  • Chen, Y.L. and Gau, Y.F., News announcements and price discovery in foreign exchange spot and futures markets. J. Bank. Finance, 2010, 34(7), 1628–1636.
  • Cheung, Y.W. and Ng, L.K., Price volatilities. Rev. Futures Mark., 1990, 9(2), 458–486.
  • China SSE50-ETF investment guidelines. China Asset Management Co. China Economic Publishing House, 2004.
  • Connors, L., How Markets Really Work: Quantitative Guide to Stock Market Behavior (Vol. 158), 2012 (John Wiley & Sons: Hoboken, NJ).
  • Cremers, M. and Weinbaum, D., Deviations from put-call parity and stock return predictability. J. Financ. Quant. Anal., 2010, 335–367.
  • Dennis, P. and Mayhew, S., Risk-neutral skewness: Evidence from stock options. J. Financ. Quant. Anal., 2002, 37(3), 471–493.
  • Dumas, B., Kurshev, A. and Uppal, R., Equilibrium portfolio strategies in the presence of sentiment risk and excess volatility. J. Finance, 2009, 64(2), 579–629.
  • Easley, D., O'Hara, M. and Srinivas, P.S., Option volume and stock prices: Evidence on where informed traders trade. J. Finance, 1998, 53(2), 431–465.
  • Engle, R.F. and Kroner, K.F., Multivariate simultaneous generalized ARCH. Economet. Theor., 1995, 122–150.
  • FIA 2016 Annual Volume Survey: Global Futures and Options Volume Reaches Record Level, 2017. Available online at: https://fia.org/categories/exchange-volume.
  • Fodor, A., Krieger, K. and Doran, J.S., Do option open-interest changes foreshadow future equity returns? Financ. Mark. Portf. Manag., 2011, 25(3), 265–280.
  • Gang, J., Zhao, Y. and Ma, X., Put-call ratio predictability of the 50ETF option. Econ. Polit. Stud., 2019, 7(3), 352–376.
  • Ge, L., Lin, T.C. and Pearson, N.D., Why does the option to stock volume ratio predict stock returns? J. Financ. Econ., 2016, 120(3), 601–622.
  • Han, Q. and Liang, J., Index futures trading restrictions and spot market quality: Evidence from the recent Chinese stock market crash. J. Futures Markets, 2017, 37(4), 411–428.
  • Hayunga, D.K. and Lung, P.P., Trading in the options market around financial analysts’ consensus revisions. J. Financ. Quant. Anal., 2014, 725–747.
  • Houlihan, P. and Creamer, G.G., Leveraging a call-put ratio as a trading signal. Soc. Sci. Electron. Publ., 2014, 21(1), 1–23.
  • Jin, W., Livnat, J. and Zhang, Y., Option prices leading equity prices: Do option traders have an information advantage? J. Accounting Res., 2012, 50(2), 401–432.
  • Kawaller, I.G., Koch, P.D. and Koch, T.W., The temporal price relationship between S&P 500 futures and the S&P 500 index. J. Finance, 1987, 42(5), 1309–1329.
  • Kogan, L., Livdan, D. and Yaron, A., Oil futures prices in a production economy with investment constraints. J. Finance, 2009, 64(3), 1345–1375.
  • Liu, Z. and Wang, S., Understanding the Chinese stock market: International comparison and policy implications. Econ. Polit. Stud., 2017, 5(4), 441–455.
  • McMillan, D.G. and Speight, A.E., Nonlinear dynamics and competing behavioral interpretations: Evidence from intra-day FTSE-100 index and futures data. J. Futures Markets, 2006, 26(4), 343–368.
  • Mehta, S. and Patel, N. Impact of option interest and put-call ratio information in derivatives market: An empirical study of option and future market. Indian Securities Market: A Review, 2014.
  • Newey, W.K. and West, K.D., Hypothesis testing with efficient method of moments estimation. Int. Econ. Rev., 1987, 777–787.
  • Nyberg, H., Predicting bear and bull stock markets with dynamic binary time series models. J. Bank. Financ., 2013, 37(9), 3351–3363.
  • Pan, J. and Poteshman, A.M., The information in option volume for future stock prices. Rev. Financ. Stud., 2006, 19(3), 871–908.
  • Silvennoinen, A. and Teräsvirta, T., Multivariate GARCH Models. Handbook of Financial Time Series, 2009 (Springer: Berlin).
  • Simon, D.P. and Wiggins, R.A., S&P futures returns and contrary sentiment indicators. J. Futures Markets, 2001, 21(5), 447–462.
  • Tsay, R.S., Multivariate volatility models. Lect. Notes Monogr. Ser., 2006, 52(32), 210–222.
  • Weir, D., Timing the Market: How to Profit in the Stock Market Using the Yield Curve, Technical Analysis, and Cultural Indicators (Vol. 235), 2006 (John Wiley & Sons: Hoboken, NJ).
  • Whaley, R.E., Derivatives on market volatility: Hedging tools long overdue. J. Deriv., 1993, 1(1), 71–84.
  • Wu, W.H., Tsai, H.H. and Wu, M.E. The delayed effect of stealth trading of major traders on Taiwan stock index options. International Conference on Business and Information, Nagoya, Japan, 2016.
  • Xing, Y., Zhang, X. and Zhao, R., What does the individual option volatility smirk tell us about future equity returns? J. Financ. Quant. Anal., 2010, 641–662.
  • Yang, J., Yang, Z. and Zhou, Y., Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China. J. Futures Markets, 2012, 32(2), 99–121.
  • Yu, X., Chen, Z., Xu, W. and Fu, J., Forecasting bull and bear markets: Evidence from China. Emerg. Mark. Finance Trade, 2017, 53(8), 1720–1733.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.