Index volatility and the put-call ratio: a tale of three markets-Reference-Cited by-同舟云学术

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

Published:2020-10-15 Issue:12 Volume:20 Page:1983-1996
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Gang Jianhua¹²,Huang Nan³,Song Ke¹²,Zhang Ruyi⁴

Affiliation:

1. China Financial Policy Research Center, School of Finance, Renmin University of China, Beijing, People’s Republic of China

2. International Monetary Institute, Renmin University of China, Beijing, People’s Republic of China

3. School of Economics and Management, Tsinghua University, Beijing, People’s Republic of China

4. Fu Foundation School of Engineering and Applied Science, Columbia University, New York, NY, USA

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1814009

Reference46 articles.

1. 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.

2. Put—call ratios and market timing effectiveness

3. Are put-call ratios a substitute for short sales?

4. The information content of option ratios

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