Abstract The purpose of this paper is to investigate the impact of foreign capital on the interrelationship between the stock markets and futures markets of Hong Kong, Malaysia and Taiwan. Malaysia stock market is under Exchange Control Mechanism, (ECM) while Taiwan futures market under foreign capital deregulation, both markets has extremely serious influence. The investment behavior of foreign capital, as superior informed investors, always imply their expectation to both stock and futures markets. Thus, this paper attempts to focus on three topics to analyze the investment behavior of the foreign capital. First, whether the degree of intervene of the foreign capital influences the lead-lag relationship. Second, whether after intervene of the foreign capital influence the lead-lag relationship, and third, whether the foreign capital net buying (selling) amount in the stock market influence the basis after deregulation of the Taiwan futures markets. This paper found that under over intervention on futures markets would restrained the stock index futures from price discovered, and after Taiwan futures markets deregulation, foreign capital net buying (selling) amount in the stock market does influence the basis. This study propose both Taiwan stock and futures markets exists foreign capital positive feedback trading.

This study shows that investor sentiment plays an important role in affecting the pricing dynamics between the spot and futures markets. The empirical evidence suggests that investor sentiment has a positive impact on price volatility and the bid–ask spread on both the spot and futures markets, which induces higher arbitrage risk and trading costs during high sentiment periods. As a consequence, during high sentiment periods, informed traders become less willing to leverage their information advantages on the futures market, which diminishes the futures markets’ leading informational role and contributions to price discovery. My findings provide support for the theory of limits to arbitrage.

Tese (doutorado)—Universidade de Brasília, Faculdade de Economia, Administração, Contabilidade e Ciência da Informação e Documentação, Programa de Pós-Graduação em Administração, 2010. / Submitted by Albânia Cézar de Melo (albania@bce.unb.br) on 2011-10-03T14:58:13Z No. of bitstreams: 1 2010_JoseCarneirodaCunhaOliveiraNeto.pdf: 931070 bytes, checksum: a8adc0ba6d2f96f0fe09dd274b28b826 (MD5) / Approved for entry into archive by LUCIANA SETUBAL MARQUES DA SILVA(lucianasetubal@bce.unb.br) on 2011-10-03T16:10:37Z (GMT) No. of bitstreams: 1 2010_JoseCarneirodaCunhaOliveiraNeto.pdf: 931070 bytes, checksum: a8adc0ba6d2f96f0fe09dd274b28b826 (MD5) / Made available in DSpace on 2011-10-03T16:10:37Z (GMT). No. of bitstreams: 1 2010_JoseCarneirodaCunhaOliveiraNeto.pdf: 931070 bytes, checksum: a8adc0ba6d2f96f0fe09dd274b28b826 (MD5) / This thesis aims to analyze the relationship between corporate governance and information efficiency. Corporate governance can be defined as a set of instruments designed to ensure the suppliers of capital receipt of any revenue generated by their investments. For this, a company with higher levels of governance adopts standards of disclosure, greater transparency in decision making and straight relationship rules between management and capital providers. In Brazil, the institutional structures that underpin the functioning of the differentiated governance began to be developed further since 2001, with the creation of Novo Mercado and different levels of governance and the creation of the Câmara de Arbitragem do Mercado (CAM). To work, the structures of ensuring compliance with the promise of best practices should be accepted as effective by market participants. Accordingly, there is a process of building the reputation of the new institutions created to support the market for a differentiated governance. When you have established credibility, how economic agents process new information regarding these companies should be influenced, since the new rules limit the universe of possible deviations from the administration or majority stockholder, which reduces the costs associated with process incorporation of new information to the company's assets. As a basic hypothesis, this thesis proposes that firms with higher levels of governance, since they have lower costs associated with the incorporation of exogenous shocks, should lead the market to absorb more efficiently the impacts generated by new information. To examine this hypothesis, two basic models were built. The first, introduced in Chapter 3 assesses the market for corporate governance has gained credibility with the participants of the stock market, the results indicate that even after controlling for number of companies, the risk profile of the different market governance has improved consistently when compared with the traditional market. Already in Chapter 4 of the best informational efficiency hypothesis is tested, that are used for intraday frequency of 15 minutes. The hypothesis is that improved corporate governance reduces the costs associated with incorporating new information to the assets of the company, so companies with better governance have higher level of informational efficiency. The cointegrating relationship between series was tested using the Engle-Granger method in two stages. The Vector Error Correction (VECM) and Granger causality test does not allow rejection of the hypothesis of informational efficiency of the market better governance differently. To estimate the VECM used a bivariate BEKK GARCH model. The results indicate that the IGC finds its equilibrium price and the fastest IbrX converges to the equilibrium indicated by the IGC. The thesis is divided into five chapters, the introduction provided in Chapter 1, the theoretical model is developed during the literature review in Chapter 2, Chapter 3 assesses the evolving relationship between market risk and traditional governance differentiated, the Chapter 4 studies the effect of leadership presence and Chapter 5 presents the overall findings and recommendations, after the bibliography is listed. _________________________________________________________________________________________ RESUMEN / Esta tesis tiene como objetivo analizar la relación entre gobernanza empresarial y eficiencia de la información. La gobernanza empresarial puede ser definida como un conjunto de instrumentos destinados a garantizar la recepción de los proveedores de capital de los posibles ingresos generados por sus inversiones. Para ella, una empresa con mayores niveles de gobierno adopta normas de divulgación más amplias, claras y rígidas, una mayor transparencia en la toma de decisiones y la relación entre la administración y los inversores. En Brasil, las estructuras institucionales que sustentan el funcionamiento de la gestión diferenciada empezó a ser desarrollado cerca de 2001, con la creación del Novo Mercado y diferentes niveles de gobernanza, además la creación del mercado de la Câmara de Arbitragem do Mercado (CAM). Para el trabajo, las estructuras de garantiza el cumplimiento de la promesa de mejores prácticas debe ser aceptada como efectiva por los participantes del mercado. En consecuencia, hay un proceso de construcción de la reputación de las nuevas instituciones creadas para apoyar el mercado de gobernanza empresarial diferenciada. Cuando haya establecido la credibilidad, la forma como los agentes económicos procesan la nueva información respecto a estas empresas deben ser influenciadas, ya que las nuevas reglas limitan el universo de posibles desviaciones de la administración o de los accionistas mayoritarios, lo que reduce los costos asociados con el proceso incorporación de nueva información a los activos de la empresa. Como hipótesis de base, esta tesis propone que las empresas con mayores niveles de gobierno, ya que tienen menores costos asociados con la incorporación de los choques exógenos, debe liderar el mercado para absorber de manera más eficiente los impactos generados por la nueva información. Para examinar esta hipótesis, dos modelos básicos fueron construidos. El primero, presentado en el capítulo 3 se evalúa el mercado de la gestión empresarial ha ganado credibilidad con los participantes del mercado de valores, los resultados indican que, incluso después de controlar por número de empresas, el perfil de riesgo de la gobernanza del mercado de diferentes ha mejorado constantemente cuando en comparación con el mercado tradicional. Ya en el Capítulo 4 la hipótesis mejor eficiencia informativa se prueba, para lo que se utilizan dados en la frecuencia intradía de 15 minutos La hipótesis es que una mejor gobernanza empresarial reduce los costes asociados a la incorporación de nueva información a los activos de la empresa, por lo que las empresas con mejor gobernanza tienen un mayor nivel de eficiencia informativa. Para analizar la relación de largo plazo entre IBrX y de la CIG, la relación de cointegración, el método de Engle-Granger en dos etapas fue utilizado. El vector de corrección de errores (VECM) y la prueba de causalidad de Granger no permite rechazar la hipótesis de eficiencia informativa de las empresas con mejor gobernanza. Para estimar el VECM utiliza un modelo GARCH bivariante BEKK. Los resultados indican que el IGC encuentra su precio de equilibrio más rápido y IBrX converge al equilibrio indicado por lo IGC. La tesis se divide en cinco capítulos, la introducción en el Capítulo 1, el modelo teórico se desarrolla durante la revisión de la literatura en el Capítulo 2, el Capítulo 3 se evalúa la evolución de la relación entre el riesgo de mercado y de gobierno tradicionales diferenciados, el Capítulo 4 estudia la presencia de lead lag y en Capitulo 5 son presentadas las conclusiones generales y recomendaciones. después de lo cual la bibliografía es presentada. / A presente tese tem como objetivo analisar a relação entre governança corporativa e eficiência informacional. A governança corporativa pode ser definida como um conjunto de instrumentos que visam garantir aos fornecedores de capital o recebimento dos eventuais benefícios produzidos por seus investimentos. Para isso, uma empresa com níveis mais elevados de governança adota normas de divulgação de informações mais amplas, claras e rígidas, maior transparência no processo decisório e na relação entre administração e fornecedores de capital. No Brasil, as estruturas institucionais que fundamentam o funcionamento do mercado de governança diferenciada começaram a ser mais desenvolvidas a partir de 2001, com a criação do Novo Mercada e níveis diferenciados de governança e pela criação da Câmara de Arbitragem do Mercado (CAM). Para que funcione, as estruturas de garantem o cumprimento das promessas de melhores práticas devem ser aceitas como eficazes por parte dos participantes do mercado. Nesse sentido, há um processo de construção da reputação das novas instituições criadas para fundamentar o mercado de governança diferenciada. Após estabelecida a credibilidade, a forma como os agentes econômicos processam novas informações referentes a essas empresas deve ser influenciada, visto que as novas regras limitam o universo de desvios possíveis por parte da administração ou acionista majoritário, o que reduz os custos associados ao processo de incorporação de novas informações aos ativos da empresa. Como hipótese básica, a presente tese propôs que empresas com níveis mais elevados de governança, por possuírem menores custos associados à incorporação de choques exógenos, devem liderar o mercado ao absorverem de maneira mais eficiente os impactos gerados pelas novas informações. Para avaliar essa hipótese, dois modelos básicos foram construídos. O primeiro, apresentado no Capítulo 3 avalia se o mercado de governança corporativa tem ganhado credibilidade perante os participantes do mercado de capitais, os resultados indicam que mesmo quando controlado o número de empresas, a perfil de risco do mercado de governança diferenciada tem melhorado consistentemente quando comparado com o mercado tradicional. Já no Capítulo 4 a hipótese de melhor eficiência informacional é testada, para isso são utilizados dados intradiários em freqüência de 15 minutos. A hipótese testada é de que um melhor nível de governança corporativa reduz os custos associados à incorporação de novas informações aos preços dos ativos da empresa, assim empresas com melhor nível de governança têm maior eficiência informacional. A relação de cointegração entre as séries foi testada com o uso do método Engle-Granger em dois estágios. O Vetor de Correção de Erros (VECM) e o teste de causalidade de Granger não permitem a rejeição da hipótese de melhor eficiência informacional do mercado de governança diferenciada. Para estimativa do VECM utilizou-se um modelo GARCH bivariado BEKK. Os resultados indicam que o IGC encontra seu preço de equilíbrio mais rápido e que o IBrX converge para a relação de equilíbrio apontada pelo IGC. A tese está dividida em cinco capítulos, sendo a introdução apresentada no Capítulo 1, o modelo teórico é desenvolvido durante a revisão da literatura no Capítulo 2, o Capítulo 3 avalia a evolução da relação de risco entre o mercado tradicional e o de governança diferenciada, o Capítulo 4 estuda a presença do efeito liderança e o Capítulo 5 apresenta as conclusões gerais e recomendações, ao fim a bibliografia utilizada é listada. __________________________________________________________________________________________ ABSTRACT

本研究探討台灣加權股價指數以及本土指數期貨間的「價格發現」關係。研究期間乃自民國87年9月1日至88年12月31日止，選取各交易日內期貨與現貨每5分鐘的資料作為觀察值。在研究方法的採用上包括：ADF單根檢定、共整合檢定、錯誤更正模型（ECM）以及衝擊反應分析與變異數分解等。進而，本研究亦依照相同之分析流程，將資料進一步區分為週一至週六等6個交易日，以探討各交易日的結果是否不同。本研究得出以下之結論： 1. 在ADF單根檢定之下，我們發現不論期貨或現貨，兩數列均為I(1)之數列。 2. 根據共整合的檢定結果，發現台股指數期貨與現貨間存在「共整合關係」，即兩者存在一長期均衡關係，且此一情形亦適用於所有資料與各交易日。 3. 將共整合關係考慮進ECM分析中則可發現，對全體資料而言，不論是期貨或現貨，兩者均會對前期均衡誤差作調整，但是期貨的調整速度較現貨為快，也較為顯著。但對於單一交易日而言，可發現不同之結果：期貨仍會往均衡方向作移動，但現貨除星期五外，並沒有往均衡移動之情形。 4. 在「領先-落後」關係上：就全部資料來看（落後4期），期貨會領先現貨約15分鐘左右，而現貨領先期貨亦為20分鐘，兩者並非單一方向之因果關係。而在週一至週六的結果上，回饋關係亦存在，且領先落後的時間也約為15至20分鐘，唯獨「星期一」期貨似乎未有領先現貨之情形。 5. 在衝擊反應分析與變異數分解方面，不論期貨或現貨，大部分的波動來源，仍是來自於自身的變異程度。但相對上，期貨對現貨預測誤差變異數的解釋程度會高於現貨對期貨預測誤差變異數的解釋程度。同時，由衝擊反應函數來看，亦可得出相類似的結果：即相對而言，期貨對現貨之衝擊較大，且衝擊時間約為15至20分鐘。

Recently, active suspension has been applied to many commercial automobiles. To develop the control algorithm for active suspension, a quarter-car test bed was built by using a direct-drive tubular linear brushless permanent-magnet motor (LBPMM) as a force-generating component. Two accelerometers and a linear variable differential transformer (LVDT) are used in this quarter-car test bed. Three pulse-width-modulation (PWM) amplifiers supply the currents in three phases. Simulated road disturbance is generated by a rotating cam. Modified lead-lag control, linear-quadratic (LQ) servo control with a Kalman filter, and the fuzzy control methodologies were implemented for active-suspension control. In the case of fuzzy control, asymmetric membership functions were introduced. This controller could attenuate road disturbance by up to 78%. Additionally, a sliding-mode controller (SMC) is developed with a different approach from the other three control methodologies. While SMC is developed for the position control, the other three controllers are developed for the velocity control. SMC showed inferior performance due to the drawback of the implemented chattering-proof method. Both simulation and experimental results are presented to demonstrate the effectiveness of these four control methodologies.

In a firm level matched sample of 499 firms we examine the information flow between stocks and the credit default swap (CDSs) over a period of January 2004 to December 2008. Our study confirms the general findings of previous studies that the information generally flows from equity market to CDS market. However, for a much smaller number of firms we also find that information also flows from the CDS to its stock. A major advantage of our sample period is that it allows us to examine the information flow before and during the crisis. This paper makes two contributions. We document that the firms for which the information flows from the CDS to its stock increases by almost tenfold during the crisis. The current crisis is often referred as a credit crisis, so this finding is consistent with what is expected of CDSs. The major contribution of this paper is that it identifies the firm specific factors that influence the information flow across the two markets. We show that characteristics such as asset size, profitability, and industry, amongst others, play an important role in determining information flow.

In a firm level matched sample of 499 firms we examine the information flow between stocks and the credit default swap (CDSs) over a period of January 2004 to December 2008. Our study confirms the general findings of previous studies that the information generally flows from equity market to CDS market. However, for a much smaller number of firms we also find that information also flows from the CDS to its stock. A major advantage of our sample period is that it allows us to examine the information flow before and during the crisis. This paper makes two contributions. We document that the firms for which the information flows from the CDS to its stock increases by almost tenfold during the crisis. The current crisis is often referred as a credit crisis, so this finding is consistent with what is expected of CDSs. The major contribution of this paper is that it identifies the firm specific factors that influence the information flow across the two markets. We show that characteristics such as asset size, profitability, and industry, amongst others, play an important role in determining information flow.

Recently, active suspension has been applied to many commercial automobiles. To develop the control algorithm for active suspension, a quarter-car test bed was built by using a direct-drive tubular linear brushless permanent-magnet motor (LBPMM) as a force-generating component. Two accelerometers and a linear variable differential transformer (LVDT) are used in this quarter-car test bed. Three pulse-width-modulation (PWM) amplifiers supply the currents in three phases. Simulated road disturbance is generated by a rotating cam. Modified lead-lag control, linear-quadratic (LQ) servo control with a Kalman filter, and the fuzzy control methodologies were implemented for active-suspension control. In the case of fuzzy control, asymmetric membership functions were introduced. This controller could attenuate road disturbance by up to 78%. Additionally, a sliding-mode controller (SMC) is developed with a different approach from the other three control methodologies. While SMC is developed for the position control, the other three controllers are developed for the velocity control. SMC showed inferior performance due to the drawback of the implemented chattering-proof method. Both simulation and experimental results are presented to demonstrate the effectiveness of these four control methodologies.

This study is concerned with the lead-lag relationship between Turkish spot equity and derivatives markets. In the study, the spot equity market is represented by the ISE-30 Index. In order to compare the structure of the two markets, the futures contract written on the ISE-30 Index, namely TURKDEX-ISE 30, is chosen to represent the derivatives market. The analysis is performed over the sample period beginning February 4, 2005 and ending on December 10, 2010 which actually covers the entire time span from the establishment of the TURKDEX market until the end of last year. This sample period is examined on the basis of 5-minute intervals during the trading day, enabling a more detailed and accurate evaluation of the lead-lag power of the markets. The main methods applied to examine the structure of information flow between the markets are co-integration and causality analyses. Different approaches of these basic methods are employed as well in order to provide robust results. An additional robustness check is provided through examining the relationship between the markets by using both raw and filtered prices. ARMA filtering is performed on the prices and these findings are compared to those obtained by raw prices in order to avoid the problem of infrequent trading. Outcomes of both raw and filtered price analyses reveal that in 2006, 2007 and 2009 the relationship between the markets is bi-directional, whereas in 2008 and 2010, futures market strictly leads the spot market. Filtered and raw analyses do not have a definitive conclusion regarding the lead-lag relationship in 2005. For this year, while the raw data support a bi-directional relationship, ARMA filtering indicates that the spot market leads the derivatives market.

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.