Call-put signal predicts Finnish stock returns

Teppo Martikainen and Vesa Puttonen

Applied Economics Letters, 1996, vol. 3, issue 10, 645-648

Abstract: The paper investigates the predictability of Finnish stock and stock index futures returns by the volume of index options. Absolute stock market returns are predictable by options volume while returns per se are not. However, call and put volume offer useful information on the future behaviour of stock and futures markets. Profitable trading strategies based on the so called call-put signal are created.

Date: 1996
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DOI: 10.1080/135048596355853

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