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

Alizadeh-Masoodian, A., Thanopoulou, H. & 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

[img] Text - Accepted Version
Restricted to Repository staff only until 23 August 2018.
Available under License Creative Commons Attribution Non-commercial No Derivatives.

Download (488kB) | Request a copy
[img]
Preview
Text (Creative Commons Attribution Non-Commercial No Derivatives License 4.0) - Other
Download (201kB) | Preview

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.

Item 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/
Uncontrolled Keywords: Heterogeneous agent model; Investor behavior; Shipping investment; Momentum and contrarian strategies
Divisions: Cass Business School > Faculty of Finance
URI: http://openaccess.city.ac.uk/id/eprint/18475

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics