Paper Title
A Study of The Option to Stock Volume Ratio Under Different Market Conditions: Evidence from Emerging Taiwan Market

Abstract
This study extends and complements the research of [11] and [16] to provide new evidence on the determinants of the O/S (the ratio of total option market volume to total stock market volume) and the relation between the O/S and future returns under different market conditions using the data of index and equity options and their underlying assets in emerging Taiwan option and stock markets. Overall, our findings are consistent with the idea that higher O/S ratios are a bearish indicator of stock return performance for stock index options. Our evidence suggests that P/C ratio appear not to be as good as O/S ratios at predicting negative stock returns. The market conditions seem to play a substantial role in the price effects. Specially, this evidence of significant negative price impacts is more pronounced during the periods of bearish and illiquid stock market. Keywords - Index Option, Stock returns, Trading volume, Market conditions, Information content.