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

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 of this study show that the GDP growth, capital market growth and country development have a positive and significant effect on options market efficiency. Meaning that increasing of GDP growth will lead to capital 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 has 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.