Financial and Banking Strategic Studies

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

Document Type : Original Article

Authors

Fatemeh Ishaghi Hassanabadi
Saeed Fathi

Department of Management, Faculty of Administrative Sciences and Economics, University of Isfahan, Isfahan, Iran.

https://doi.org/10.22105/fbs.2026.243003
Abstract
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].  

Keywords

Futures market efficiency
Futures contract
Futures price
Meta-analysis
Result divergence
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Financial and Banking Strategic Studies
Volume 3, Issue 4
Winter 2026
Pages 280-296

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