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Investors' behaviour and dynamics of ship prices: a heterogeneous agent model

Alizadeh-Masoodian, A., Thanopoulou, H. and Yip, T.L. (2017). Investors' behaviour and dynamics of ship prices: a heterogeneous agent model. Transportation Research Part E Logistics and Transportation Review, 106, pp. 98-114. doi: 10.1016/j.tre.2017.07.012

Abstract

Distinguishing investors into speculators and operators, and classifying the former group into momentum and contrarian investors, we develop a heterogeneous agent model (HAM) to examine the dynamics of price of second-hand dry bulk ships. The results suggest that momentum strategies based on short-term measures of earnings perform significantly better than the contrarian or passive (buy-and-hold) strategies. The HAM seems to capture the dynamics of vessel prices and the investors’ behavior in the market for ships very well. Finally, an increase in participation of momentum investors tends to increase price volatility, whereas higher demand from contrarian investors seems to lower price variability.

Publication Type: Article
Additional Information: © 2017 Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Publisher Keywords: Heterogeneous agent model; Investor behavior; Shipping investment; Momentum and contrarian strategies
Departments: Cass Business School > Finance
URI: http://openaccess.city.ac.uk/id/eprint/18475
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