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| Title: | Two essays of the market friction effects on asset prices: evidence from syndicated loan and futures markets |
| Authors: | 吳偉劭
Wu, Wei-Shao |
| Contributors: | 張元晨
Chang, Yuanchen
吳偉劭
Wu, Wei-Shao |
| Keywords: | syndicated loans
informational cascade
all-in-drawn spread
non-price contract terms
lead-lag relationship
information content
foreign institutional traders |
| Date: | 2011 |
| Issue Date: | 2012-10-30 10:14:03 (UTC+8) |
| Abstract: | Two essays are comprised in this dissertation to explore how market friction affects the processes of price formation. The first essay investigates on both theoretical and empirical bases how segmentation of communication amongst potential lenders can influence loan contracts. Two cases are considered. The first one assumes that potential lenders can freely communicate with each other; the second one assumes that each potential lender can only observe the decisions of its predecessors. I show theoretically that the ex post observed interest rate will be higher and the probability of syndication failure will be lower if the potential lenders cannot communicate freely with each other. These predictions are confirmed by my empirical work. Using a novel proxy, relational distance, for the segmentation of communication, I show that the larger the relational distance, the higher is the loan spread and the lower is the probability of syndication failure. In addition, the relational distance is positively correlated with the probability of the existence of non-price contract terms, such as the requirement for collateral and guarantees. My conclusions are found to be robust to endogeneity issues, potentially omitted variables and alternative model specifications.
The second essay focuses on the informational effects between futures market and its spot market. Intraday data are used to investigate the lead-lag relationship between the TX returns, the TX trading activity and the TAIEX stock index returns. I focus on the transmission direction and the source of information and find that there are specific lead-lag relationships between futures returns and spot returns, in addition to the contemporaneous relationship predicted by carry-cost theory and efficient market theory. The results show that futures returns significantly lead spot returns, which suggests that informed trades occur in the futures market and makes information flows from the futures market to the spot market. By distinguishing different types of futures traders and using private information, net open buy, as a proxy for futures trading activity, I found that the major source of informed trades is foreign institutional traders because their trading activity have predictive power for future movements in both spot and futures prices. In contrary, traders in the other categories carry no information about the directional changes in both spot and futures prices. |
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| Description: | 博士
國立政治大學
財務管理研究所
96357504
100 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0963575041 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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