تاثیر متغیرهای منتخب کلان بر کارآیی بازار اختیارات؛ رویکرد فراتحلیل نقض محدودیت‌های آربیتراژ قیمت‌گذاری اختیارات

نوع مقاله : علمی - پژوهشی

نویسندگان

1 دانشیار، گروه مدیریت، دانشگاه اصفهان، اصفهان، ایران

2 کارشناسی ارشد مدیریت مالی، دانشگاه اصفهان، اصفهان، ایران.

چکیده

کارآیی بازار اختیار معامله به دلیل نقش موثری که در شفاف‌سازی اطلاعات اقتصادی دارد و به خاطر تخصیص بهینه سرمایه که از آن ناشی می‌شود، اهمیت ویژه‌ای در ملاحظات علمی و اجرایی مد نظر مدیران و دانشگاهیان دارد. در این پژوهش به منظور بررسی نقش رشد بازار سرمایه، رشد تولید ناخالص داخلی و توسعه‌یافتگی کشور بر کارآیی بازار اختیارات تلاش شده است ابتدا میزان کارآیی بازار اختیارات در هر کشور-سال با رویکرد فراتحلیل و بر اساس آزمون‌های تجربی صورت گرفته در مطالعات گذشته اندازه‌گیری و با رگرسیون کردن آن روی متغیرهای مذکور که اطلاعات آن از بانک جهانی گرفته شده است، به کمک رگرسیون تابلویی نامتوازن فرضیه‌های پژوهش آزمون شود. به دلیل اینکه داده‌های آماری در مورد کارآیی بازار اختیارات تاکنون وجود نداشته، در این مطالعه برای اولین بار در جهان عوامل موثر بر کارآیی بازار اختیارات سنجیده شده است. نتایج این پژوهش حاکی از آن است که از سه متغیر مستقل مورد بررسی (رشد تولید ناخالص داخلی، رشد بازار سرمایه و توسعه‌یافتگی) فقط رشد بازار سرمایه و توسعه‌یافتگی بر کارآیی بازار اختیارات تاثیر دارد. ضمناً در مطالعاتی که هزینه مبادله و سود تقسیمی دارایی پایه در تشکیل نامعادلات آربیتراژی مربوط به قیمت اختیارات در نظر گرفته شده است، کارآیی بازار اختیارات کمتر ارزیابی شده است. از طرف دیگر در کشورهای با بازارهای سرمایه رشد یافته و در کشورهای توسعه‌یافته، کارآیی بازار اختیارات بیشتر است.

کلیدواژه‌ها

عنوان مقاله [English]

The Effect of Selective Macroeconomic Variables on the Options Market Efficiency; Meta-Analysis of the Violation of Options Arbitrage Restrictions

نویسندگان [English]

  • Saeed Fathi 1
  • Seyyedeh Hourieh Seyyedian Hashemi 2
1 Associate Prof, Department of Management, University of Isfahan, Isfahan, Iran.
2 MA in Financial Management, University of Isfahan, Isfahan, Iran.
چکیده [English]

     Options market efficiency has become a main concern for practitioners and academicians because of its important role in economic information transparency and optimized allocation of capital. In this study the efficiency of options market has been measured using meta-analysis of empirical tests of arbitrage restrictions violation in published papers in each country-year, and the efficiency has been regressed on the macroeconomic variables including GDP, capital market growth and country development to investigate the effect of these variables on options market efficiency. The results show that the capital market growth and country development have a positive and significant effect on options market efficiency. On the other hand, in the countries with more growth in capital market one can expect more efficiency in options market. Finally developed countries have more efficient market for options trade. The empirical studies in which the arbitrage restrictions have been revised by transaction cost and dividend payout, the options market efficiency has been measured low. It means that market efficiency should be measured considering transaction cost and dividend effect, maybe because of deviation of results in studies do not consider these conditions.

کلیدواژه‌ها [English]

  • Arbitrage restrictions violation
  • Option markets efficiency
  • Meta-analysis
  • Capital market growth
  • Development

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