Advanced Search
MyIDEAS: Login to save this article or follow this journal

Investment timing and trading strategies in the sale and purchase market for ships

Contents:

Author Info

  • Alizadeh, Amir H.
  • Nomikos, Nikos K.

Abstract

The aim of this paper is to investigate, for the first time, the performance of trading strategies based on the combination of technical trading rules and fundamental analysis in the sale and purchase market for dry bulk ships. Using a sample of price and charter rates over the period January 1976 to September 2004, we establish the existence of a long-run cointegrating relationship between price and earnings and use this relationship as an indicator of investment or divestment timing decisions in the dry bulk shipping sector. In order to discount the possibility of data snooping biases and to evaluate the robustness of our trading models, we also perform tests using the stationary bootstrap approach. Our results indicate that trading strategies based on earnings-price ratios significantly out-perform buy and hold strategies in the second-hand market for ships, especially in the market for larger vessels, due to higher volatility in these markets.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/B6V99-4KCHCYT-1/2/35c79f0d1b18d30498f82fa163ce0fa1
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Transportation Research Part B: Methodological.

Volume (Year): 41 (2007)
Issue (Month): 1 (January)
Pages: 126-143

as in new window
Handle: RePEc:eee:transb:v:41:y:2007:i:1:p:126-143

Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/548/description#description

Order Information:
Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
Web: https://shop.elsevier.com/order?id=548&ref=548_01_ooc_1&version=01

Related research

Keywords:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  2. Jaffe, Jeffrey & Keim, Donald B & Westerfield, Randolph, 1989. " Earnings Yields, Market Values, and Stock Returns," Journal of Finance, American Finance Association, vol. 44(1), pages 135-48, March.
  3. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  4. Jostein Tvedt†, 1997. "Valuation of VLCCs under income uncertainty," Maritime Policy & Management, Taylor & Francis Journals, vol. 24(2), pages 159-174, January.
  5. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
  6. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
  7. Sullivan, Ryan & Timmermann, Allan G & White, Halbert, 1998. "Data-Snooping, Technical Trading Rule Performance and the Bootstrap," CEPR Discussion Papers 1976, C.E.P.R. Discussion Papers.
  8. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
  9. Lee, Chun I. & Gleason, Kimberly C. & Mathur, Ike, 2000. "Efficiency tests in the French derivatives market," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 787-807, May.
  10. Aror O S �dland & Steen Koekebakker, 2004. "Market Efficiency in the Second-hand Market for Bulk Ships," Maritime Economics and Logistics, Palgrave Macmillan, vol. 6(1), pages 1-15, March.
  11. Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
  12. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
  13. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
  14. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
  15. Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
  16. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
  17. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  18. Pesaran, M Hashem & Timmermann, Allan, 1995. " Predictability of Stock Returns: Robustness and Economic Significance," Journal of Finance, American Finance Association, vol. 50(4), pages 1201-28, September.
  19. S D Tsolakis & C Cridland & H E Haralambides, 2003. "Econometric Modelling of Second-hand Ship Prices," Maritime Economics and Logistics, Palgrave Macmillan, vol. 5(4), pages 347-377, December.
  20. Ruiz, Esther & Pascual, Lorenzo, 2002. " Bootstrapping Financial Time Series," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 271-300, July.
  21. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Pantuso, Giovanni & Fagerholt, Kjetil & Hvattum, Lars Magnus, 2014. "A survey on maritime fleet size and mix problems," European Journal of Operational Research, Elsevier, vol. 235(2), pages 341-349.
  2. Andriosopoulos, Kostas & Doumpos, Michael & Papapostolou, Nikos C. & Pouliasis, Panos K., 2013. "Portfolio optimization and index tracking for the shipping stock and freight markets using evolutionary algorithms," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 16-34.
  3. Nomikos, Nikos K. & Doctor, Kaizad, 2013. "Economic significance of market timing rules in the Forward Freight Agreement markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 77-93.
  4. Kostas Andriosopoulos & Nikos Nomikos, 2012. "Risk management in the energy markets and Value-at-Risk modelling: a Hybrid approach," RSCAS Working Papers 2012/47, European University Institute.
  5. Gelareh, Shahin & Pisinger, David, 2011. "Fleet deployment, network design and hub location of liner shipping companies," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 47(6), pages 947-964.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:transb:v:41:y:2007:i:1:p:126-143. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.