**4. Conclusions**

Extending the prior research relating to informational role of derivative market in general and option market in particular, this study examined the informational efficiency of volume and open interest PCR in predicting the market return and its implication for traders and portfolio managers. First, we studied the efficiency of the PCR at different frequencies and the results were tested in an out of sample forecasting exercises in a rolling frequency domain causality framework. The Granger causality from PCR to market return varies across the frequencies. Long-run causality was observed from open interest PCR to market return corresponding to time period of 12 days. In the short run, corresponding to 2.5 days, volume PCR Granger causes market return. Thus, traders and portfolio managers should use the appropriate PCR at the different time period in predicting a market return for trading and investment. In addition, unlike in the long run, the short-run volume PCR holds the predictability of market return during crisis period. Further, our findings are robust even after controlling for the information generated from futures market. In the future, this study could be extended to effectiveness of PCR ratios across maturity and moneyness of the index options as well as stock options.

**Author Contributions:** All authors contributed equally to this work.

**Acknowledgments:** This is an original research work. We are thankful to the anonymous reviewers for their constructive comments which have contributed to the improvement in the quality of the manuscript.

**Conflicts of Interest:** The authors declare no conflict of interest.
