Predicting returns with the Put-Call Ratio

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dc.contributor.advisor Pieterse, Thea en
dc.contributor.postgraduate Lee Son, Matthew Robert en
dc.date.accessioned 2013-09-07T19:24:11Z
dc.date.available 2013-04-30 en
dc.date.available 2013-09-07T19:24:11Z
dc.date.created 2013-04-25 en
dc.date.issued 2013-04-30 en
dc.date.submitted 2013-02-23 en
dc.description Dissertation (MBA)--University of Pretoria, 2013. en
dc.description.abstract 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). en
dc.description.availability unrestricted en
dc.description.department Gordon Institute of Business Science (GIBS) en
dc.identifier.citation 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 > en
dc.identifier.other F13/4/189/zw en
dc.identifier.upetdurl http://upetd.up.ac.za/thesis/available/etd-02232013-122118/ en
dc.identifier.uri http://hdl.handle.net/2263/30616
dc.language.iso en
dc.publisher University of Pretoria en_ZA
dc.rights © 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. en
dc.subject UCTD en_US
dc.subject Warrants en
dc.subject Single stock futures (ssf) en
dc.subject Put options en
dc.subject Futures en
dc.subject Call options en
dc.subject Black scholes model en
dc.subject Binomial model en
dc.subject Contracts for difference (cfd) en
dc.subject Options en
dc.subject Put-call ratio (pcr) en
dc.title Predicting returns with the Put-Call Ratio en
dc.type Dissertation en


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