Trading volume and volatility in the shipping forward freight market

被引：65

作者：

Alizadeh, Amir H. ^{[1
]}

机构：

[1] Cass Business Sch, Fac Finance, London EC1Y 8TZ, England

来源：

TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW | 2013年 / 49卷 / 01期

关键词：

Shipping; Forward freight agreement; Volatility; Trading volume; Causality; PRICE VARIABILITY; HETEROSKEDASTICITY; MODEL; INFORMATION; RETURNS; SPOT; VARIANCE; DYNAMICS; MIXTURE; TESTS;

D O I：

10.1016/j.tre.2012.08.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates the price volatility and trading volume relationship in the forward freight agreement (FFA) market for dry bulk ships over the period 2007-2011. It is found that FFA price changes have a positive impact on trading volume, suggesting a momentum effect as higher capital gains encourage more transactions. There is also evidence of a contemporaneous and positive relation between trading volume and volatility, which is in line with evidence from financial markets and the Mixture of Distribution Hypothesis. However, increases in price volatility lead to lower future trading activities in the FFA market. (C) 2012 Elsevier Ltd. All rights reserved.

引用

页码：250 / 265

页数：16

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