Price and volume dynamics in second-hand ship market based on VAR-GARCH model
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.
second-hand ship market price & volume dynamics return volatility VAR-GARCH model
Liang FANG Jin-peng LIANG Jie WANG
School of Transportation Management Dalian Maritime University Dalian, China
国际会议
秦皇岛
英文
346-351
2015-09-18(万方平台首次上网日期,不代表论文的发表时间)