Management Research in Iran

A Meta-Analytic of Options Market Efficiency: Model-Based Tests Approach

Articles in Press

Document Type : Original Article

Authors

S. Fathi
N. Fattahalmannan

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

10.48311/mri.2025.12717.1761
Abstract
Two primary approaches exist for empirical tests assessing the efficiency of options contract markets: the model-based approach and the arbitrage-based approach. Numerous empirical studies have examined model-based efficiency (comparing model-derived option prices with market prices). Still, they have yielded conflicting results regarding the efficiency of the options market, with some studies supporting market efficiency and others rejecting it. This study conducts a meta-analysis of options market efficiency under the model-based approach to reconcile these contradictions and identify their underlying causes. We selected 30 studies published between 2003 and 2022 in SCOPUS-indexed journals, extracting 6,409 test samples for hypothesis testing. The sample includes all reported tests in prior empirical studies (published in SCOPUS-indexed journals) on model-based options market efficiency. Our findings reject market efficiency, indicating a significant divergence between option contract prices and their intrinsic values. Robustness tests—including efficiency metrics, option pricing models, journal H index, analysis date, and moneyness depth—consistently confirm this conclusion.

Keywords

Options Contract
Options Market
Options Market Efficiency
Model-Based Efficiency
Meta-Analysis
Management Research in Iran

Articles in Press, Accepted Manuscript
Available Online from 13 February 2026

Home

Guide for Authors

Submit Manuscript

Reviewers

Contact Us