تحليل حساسيت فرصت¬هاي آربيتراژ در بازار اختيارات در بورس اوراق بهادار تهران

One of the most important issues in financial markets theory is market efficiency. The efficiency of the options market helps the prices to be more realistic and also helps to allocate capital more optimally in the cash market. If the market is not efficient, arbitrage opportunities will be created and people can earn arbitrage profits. This issue causes some other investors to suffer. The purpose of the research is to analyze the arbitrage opportunities in the options market of the Tehran Stock Exchange (TSE) and to identify the factors to which the arbitrage opportunities in the options market of the TSE are sensitive. The current research is practical in terms of purpose. On the other hand, because the researcher seeks to discover the social presence of a variable, the research is descriptive-analytical in nature. The variables of this research are classified into independent and dependent groups. The dependent variable is options market efficiency and the independent variables are market efficiency sensitivity factors, which include time, industry type, price type, and arbitrage strategy. The statistical population is the option transactions that took place on selected days on selected options symbols in the TSE, each of which represents one of the listed industries. The sampling method is the classified random method, which finally led to the selection of 15 days and 7 options. Of course, in the case of the closing price, all of the trading days have been used in the time period of the research. No-arbitrage options pricing relations have been used to test the efficiency of TSE options market. As a result, in testing the market efficiency, it can be said that the of TSE options market is not efficient. This inefficiency was also eva‎luated by robustness test and the hypothesis was confirmed in most of the specific research conditions. Regarding the sensitivity of the options market efficiency, the results of the research show that 1) there is a significant difference between the efficiency of different trading days, 2) there is a significant difference between the efficiency of 7 different companies that were selected from different industries, 3) the value of market efficiency is calculated significantly differently by using different types of prices and 4) the market efficiency is significantly different when buying or selling strategies are used.

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