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Predicting returns with the Put-Call Ratio
Dissertation (MBA)--University of Pretoria, 2012.
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University of Pretoria
2013
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| _version_ | 1867613516580519936 |
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| access_status_str | Open Access |
| author2 | Pieterse, Thea |
| author_browse | Pieterse, Thea |
| author_facet | Pieterse, Thea |
| collection | Thesis |
| dc_rights_str_mv | © 2012 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MBA)--University of Pretoria, 2012. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/30616 |
| institution | University of Pretoria (South Africa) |
| last_indexed | 2026-06-10T12:37:23.532Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2013 |
| publishDateRange | 2013 |
| publishDateSort | 2013 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/30616 Predicting returns with the Put-Call Ratio Pieterse, Thea ichelp@gibs.co.za Lee Son, Matthew Robert UCTD Warrants Single stock futures (ssf) Put options Futures Call options Black scholes model Binomial model Contracts for difference (cfd) Options Put-call ratio (pcr) Dissertation (MBA)--University of Pretoria, 2012. Over 22 billion derivative contracts were traded on different stock exchanges globally during the year 2010 of which almost 50% were futures while the remaining 50% were options. An overall 25% increase in such contracts was registered as compared to those traded in the year 2009 (International Options Market Association (IOMA) Report, 2011).Investors often use a wide array of trading tools, market indicators and market trading strategies to get the best possible returns for the money that was invested. The main objective of this paper is to focus on the use of market sentiment indicators, specifically the Put-Call Ratio (PCR) as a predictor of returns for an investor.The Put-Call Ratio is defined as a ratio of the trading volume of put options to call options. It is called a sentiment indicator because it measures the “feelings” of option traders. Additionally, it has longed been viewed as an indicator of investors’ sentiment in the market (Put-Call Ratio, 2012) and is possibly the most favoured description of market psychology (James, 2011). Gordon Institute of Business Science (GIBS) unrestricted 2013-09-07T19:24:11Z 2013-04-30 2013-09-07T19:24:11Z 2013-04-25 2012 2013-02-23 Dissertation Lee Son, MR 2012, Predicting returns with the Put-Call Ratio, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/30616 > F13/4/189/zw http://hdl.handle.net/2263/30616 http://upetd.up.ac.za/thesis/available/etd-02232013-122118/ © 2012 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Warrants Single stock futures (ssf) Put options Futures Call options Black scholes model Binomial model Contracts for difference (cfd) Options Put-call ratio (pcr) Predicting returns with the Put-Call Ratio |
| title | Predicting returns with the Put-Call Ratio |
| title_full | Predicting returns with the Put-Call Ratio |
| title_fullStr | Predicting returns with the Put-Call Ratio |
| title_full_unstemmed | Predicting returns with the Put-Call Ratio |
| title_short | Predicting returns with the Put-Call Ratio |
| title_sort | predicting returns with the put call ratio |
| topic | UCTD Warrants Single stock futures (ssf) Put options Futures Call options Black scholes model Binomial model Contracts for difference (cfd) Options Put-call ratio (pcr) |
| url | http://hdl.handle.net/2263/30616 http://upetd.up.ac.za/thesis/available/etd-02232013-122118/ |