THE BEHAVIOR OF SECONDARY MARKET PRICES OF LDC SYNDICATED LOANS

The paper investigates the time series properties and the efficiency o f the secondary market for LDCs syndicated loans. The data correspondi ng to weekly secondary market prices for 26 LDCs syndicated loans are divided into two subperiods: from July 1988 to June 1990 and from July 1990 to May 1992. Tests of the random walk hypothesis are conducted b ased on the Augmented Dickey-Fuller methodology and the variance-ratio test of Lo and MacKinlay. The efficiency of the market is tested by m eans oi filter rule tests. The empirical findings suggest that the sec ondary market for LDCs syndicated loans has become more efficient over time and that loan prices follow random walks.