Theoretical and Applied Economics
No. 1 / 2025 (642), Spring
Exploring the relationship between the Put Call Ratio and Market Indices: a comparative analysis of S&P 500 and BET
Transilvania University of Brasov, Romania
Abstract. The equity put/call ratio (PCR) from the Chicago Board Options Exchange (CBOE) is widely regarded by market participants as an indicator of market sentiment and positioning. While frequently used as a contrarian signal for traders, long-term investors often adjust their positions based on extreme PCR levels. This paper evaluates the relevance of the PCR as a sentiment indicator by examining its correlations, causal relationships, and responsiveness with the S&P 500 and BET indices. By conducting an empirical analysis across two distinct markets developed market and a frontier market, the study sheds light on the behavior of the PCR in these contrasting contexts, with particular emphasis on the structural limitations and behavioral nuances of the BET index. The findings reveal that while the PCR demonstrates limited predictive capacity for market movements, shocks to the S&P 500 significantly influence the PCR. Conversely, the relationship between the PCR and the BET index is negligible, reflecting the unique constraints of the Romanian market, such as its low liquidity and the absence of derivative markets. These results underscore the need to adapt sentiment indicators to the specific characteristics of frontier markets.
Contents
The impact of agro-food imports from Ukraine on the Romanian market: a post-conflict economic analysis
An empirical analysis of foreign trade concentration between Türkiye and Egypt (2005-2023)
The three-ways linkages between domestic investment, exports and economic growth: new evidence from Saudi Arabia
Local resilience in the context of digital transition: development policy perspectives from Romania and Moldova
Customs unions and trade spillovers: from bilateral agreements to multilateral impact
The impact of foreign direct investment on carbon emissions in China: a provincial panel data analysis
Quantitative insights into the impact of financial inclusion on economic growth: an econometric evaluation of Arab countries (2011-2022)
The relationship between external factors and economic growth: Differences between the global financial crisis and the COVID-19 pandemic from a Granger causality perspective
The lasting impact of COVID-19. How the pandemic reshaped human behaviour
Asymmetric effect of monetary policy on stock market performance in the ECOWAS zone: empirical evidence from the NARDL approach
The effect of inflation and fiscal decentralization on income inequality in Sumatra Island of Indonesia: a panel data
Exploring the relationship between the Put Call Ratio and Market Indices: a comparative analysis of S&P 500 and BET
Macro-economic determinants of financial inclusion: evidence from West African Economic and Monetary Union (WAEMU)
Tax and macroeconomic framework. The case of Greece
Consumerism and capitalism: dynamic evolution, economic benefits, and ethical challenges
Business cycle synchronization of Tunisia and Euro Zone countries: a parametric and non-parametric analysis
Macro analysis of linkages between export, import and economic growth: evidence from the Indian economy
From lab to market: how governments and enterprises compose the future of innovation
Improving human development in West African countries: do cryptocurrencies matter?
Romanian knowledge and attitude on sustainability and sustainable clothing: exploring the reliability and validity of a measurement scale
Estimating Romania’s potential GDP: a production function and multivariate approach
Fiscal adjustment and economics growth in Senegal