Predicting price behavior in equity market using non-price variables information in derivatives market

Abstract

Investors in the stock market are always on look out for information which can be analyzed to find patterns of superior and high probability profit making opportunities. This would give them an edge to generate super profits which would beat the normal returns from the market. In this study we analyzed the derivative indicators which would serve as a signal about the future course of the market. We performed the analysis for the study from the data collected on NIFTY Index from the start of Futures market on NSE from 12-Jun-2000 till 14-May-2007 on the following non-price variables. Open Interest, Trading Volume, Cost of Carry and Put call Ratio.