Price and volume dynamics in second-hand ship market based on VAR-GARCH model

摘要：

　　To investigate the relationship between trading volume and prices volatility in second-hand ship total markets,bulk ship,tanker and containership market,regression,VAR and EGARCH model are constructed to analyze the contemporaneous relationships,lead-lag relationships and returns volatility-volume dynamics.The positive contemporaneous relationships are identified in the four second-ship market; all the four second-hand ship markets have unilateral causality between trading volume and price return except tanker market; the return volatility in all the four markets has leverage effects,and past trading volume have positive impact on return volatility in all second-hand ship markets.

关键词： second-hand ship market price & volume dynamics return volatility VAR-GARCH model

作者: Liang FANG Jin-peng LIANG Jie WANG

作者单位: School of Transportation Management Dalian Maritime University Dalian, China

会议类型: 国际会议

会议名称: 2015 Fifth International Conference on Instrumentation and Measurement,Computer,Communication and Control (IMCCC2015)(第五届仪器测量、计算机通信与控制国际会议)

会议地点: 秦皇岛

会议语种:英文

页码: 346-351

在线出版日期: 2015-09-18（万方平台首次上网日期，不代表论文的发表时间）