فراتحلیلی بر کارایی بازارهای آتی و عوامل واگرایی نتایج مطالعات

نوع مقاله : مقاله پژوهشی

نویسندگان

گروه مدیریت، دانشکده علوم اداری و اقتصاد، دانشگاه اصفهان، اصفهان، ایران‫‬‬‬‬.‬‬‬

چکیده
هدف: هدف این مقاله ارزیابی کارایی بازار آتی، به‌ویژه در زمینه توانایی قیمت‌های آتی در پیش‌بینی بدون تورش قیمت نقد سررسید پیش از تاریخ سررسید است. با توجه به وجود نتایج متناقض و ناهمگون در مطالعات تجربی پیشین، این پژوهش با استفاده از رویکرد فراتحلیل به دنبال تبیین و روشن‌سازی این اختلاف نتایج است.
روش‌شناسی پژوهش: در این پژوهش از روش فراتحلیل برای تجمیع نظام‌مند و کمی نتایج مطالعات تجربی استفاده شده است. در این راستا، مطالعات منتشرشده در بازه زمانی 1970 تا 2020 که به بررسی قابلیت پیش‌بینی قیمت نقد سررسید توسط قیمت آتی پرداخته‌اند، گردآوری شدند. پس از غربال‌گری، 15 مقاله تجربی شامل 152371 مشاهده و 455 اندازه اثر در تحلیل نهایی وارد شدند. نتایج این مطالعات به‌صورت آماری تجمیع و تحلیل شد تا جمع‌بندی کلی درباره کارایی بازار آتی ارایه گردد.
یافتهها: یافته‌ها نشان می‌دهد که بازار آتی به‌طور کامل کارا نیست، زیرا قیمت‌های آتی پیش از سررسید قادر به پیش‌بینی بدون تورش قیمت نقد سررسید نیستند؛ همچنین، ناهمگنی نتایج مطالعات پیشین تحت تاثیر عواملی مانند نوع کشور، نوع دارایی پایه، زمان باقی‌مانده تا سررسید، افق زمانی مطالعه و تواتر داده‌ها قرار دارد. این عوامل نقش مهمی در تبیین تفاوت نتایج پژوهش‌های پیشین دارند.
اصالت/ارزش افزوده علمی: این پژوهش با ارایه یک تحلیل جامع و یکپارچه از کارایی بازار آتی از طریق فراتحلیل، به ادبیات موجود کمک می‌کند. همچنین نقش عوامل زمینه‌ای و ساختاری در توضیح تفاوت نتایج مطالعات پیشین را برجسته کرده و شواهد قوی‌تری درباره وضعیت کارایی بازارهای آتی ارایه می‌دهد [1].

کلیدواژه‌ها


عنوان مقاله English

A meta-analysis on the efficiency of futures markets and factors that diverge the results of studies

نویسندگان English

Fatemeh Ishaghi Hassanabadi
Saeed Fathi
Department of Management, Faculty of Administrative Sciences and Economics, University of Isfahan, Isfahan, Iran.
چکیده English

Purpose: The purpose of this paper is to evaluate the efficiency of the futures market, particularly in terms of the ability of futures prices to predict the spot price at maturity prior to expiration. Given the inconsistent and contradictory findings in previous empirical studies, this research aims to clarify the divergence in results using a meta-analytic approach.
Methodology: This study employs a meta-analysis approach to systematically aggregate and quantitatively synthesize empirical evidence. In this regard, empirical studies published between 1970 and 2020 that examined the predictive ability of futures prices for spot prices at maturity were collected. After a screening process, the final dataset includes 15 empirical studies, comprising 152,371 observations and 455 effect sizes. The results of these studies were statistically integrated to derive overall conclusions regarding market efficiency.
Findings: The findings indicate that the futures market is not fully efficient, as futures prices do not significantly provide unbiased predictions of spot prices at maturity prior to expiration. Moreover, the heterogeneity in previous research results is influenced by factors such as country type, underlying asset type, time to maturity, study period horizon, and data frequency. These factors significantly explain the variation in empirical outcomes across studies.
Originality/Value: This study contributes to the literature by providing a comprehensive and integrative assessment of futures market efficiency using meta-analysis. It highlights the role of contextual and structural factors in explaining inconsistencies in prior findings and offers more robust evidence regarding the efficiency of futures markets [1].  

کلیدواژه‌ها English

Futures market efficiency
Futures contract
Futures price
Meta-analysis
Result divergence
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دوره 3، شماره 4
زمستان 1404
صفحه 280-296