메뉴 건너뛰기




Volumn 30, Issue 4, 2003, Pages 321-337

The price-volume relationship in the sale and purchase market for dry bulk vessels

Author keywords

[No Author keywords available]

Indexed keywords

BULK CARGO; FREIGHT TRANSPORT; PRICE DYNAMICS; SHIPPING; TRANSPORTATION ECONOMICS;

EID: 0742301783     PISSN: 03088839     EISSN: None     Source Type: Journal    
DOI: 10.1080/0308883032000145627     Document Type: Article
Times cited : (45)

References (39)
  • 1
    • 84944838354 scopus 로고
    • A model for asset trading under the assumption of sequential information arrival
    • COPELAND, T. E., 1976, A model for asset trading under the assumption of sequential information arrival. Journal of Finance, 31, 1149-1168.
    • (1976) Journal of Finance , vol.31 , pp. 1149-1168
    • Copeland, T.E.1
  • 2
    • 0000346734 scopus 로고
    • A subordinated stochastic process model with finite variance for speculative prices
    • CLARK, P. K., 1973, A subordinated stochastic process model with finite variance for speculative prices. Econometrica, 41, 135-155.
    • (1973) Econometrica , vol.41 , pp. 135-155
    • Clark, P.K.1
  • 3
    • 84919214538 scopus 로고
    • The relationship between price changes and trading volume: A survey
    • KARPOFF, J. M., 1987, The relationship between price changes and trading volume: a survey. Journal of Financial and Quantitative Analysis, 22, 109-126.
    • (1987) Journal of Financial and Quantitative Analysis , vol.22 , pp. 109-126
    • Karpoff, J.M.1
  • 4
    • 0000323665 scopus 로고
    • The volume of transaction and price change on the New York Stock Exchange
    • CROUCH, R. L., 1970, The volume of transaction and price change on the New York Stock Exchange. Financial Analyst Journal, 26, 104-109.
    • (1970) Financial Analyst Journal , vol.26 , pp. 104-109
    • Crouch, R.L.1
  • 5
    • 84979343710 scopus 로고
    • The relationship between volume and price variability in futures markets
    • CORNELL, B., 1981, The relationship between volume and price variability in futures markets. Journal of Futures Markets, 1, 304-316.
    • (1981) Journal of Futures Markets , vol.1 , pp. 304-316
    • Cornell, B.1
  • 6
    • 0001519132 scopus 로고
    • Futures price variability: A test of maturity and volume effects
    • GRAMMATIKOS, T. and SAUNDERS, A., 1986, Futures price variability: a test of maturity and volume effects. Journal of Business, 59, 319-330.
    • (1986) Journal of Business , vol.59 , pp. 319-330
    • Grammatikos, T.1    Saunders, A.2
  • 7
    • 84976037533 scopus 로고
    • Cross-security tests of the mixture-of-distributions hypothesis
    • HARRIS, L., 1986, Cross-security tests of the mixture-of-distributions hypothesis. Journal of Financial and Quantitative Analysis, 21, 39-46.
    • (1986) Journal of Financial and Quantitative Analysis , vol.21 , pp. 39-46
    • Harris, L.1
  • 8
    • 0030501699 scopus 로고    scopus 로고
    • The role of futures trading activity in exchange rate volatility
    • CHATRATH, A., RAMCHANDER, S. and SONG, F., 1996, The role of futures trading activity in exchange rate volatility. Journal of Futures Markets, 16, 561-584.
    • (1996) Journal of Futures Markets , vol.16 , pp. 561-584
    • Chatrath, A.1    Ramchander, S.2    Song, F.3
  • 9
    • 0032338369 scopus 로고    scopus 로고
    • Volume and price relationships: Hypotheses and testing for agricultural futures
    • MALLIARIS, A. G. and URRUTIA, J. L., 1998, Volume and price relationships: hypotheses and testing for agricultural futures. Journal of Futures Markets, 18, 53-72.
    • (1998) Journal of Futures Markets , vol.18 , pp. 53-72
    • Malliaris, A.G.1    Urrutia, J.L.2
  • 10
    • 84977718808 scopus 로고
    • Heteroskedasticity in stock return data: Volume versus GARCH effects
    • LAMOUREUX, C. G. and LASTRAPES, W. D., 1990, Heteroskedasticity in stock return data: volume versus GARCH effects. The Journal of Finance, 45(1), 221-229.
    • (1990) The Journal of Finance , vol.45 , Issue.1 , pp. 221-229
    • Lamoureux, C.G.1    Lastrapes, W.D.2
  • 11
    • 84978549454 scopus 로고
    • A GARCH examination of the relationship between volume and price variability in futures markets
    • NAJAND, M. and YUNG, K., 1991, A GARCH examination of the relationship between volume and price variability in futures markets. Journal of Futures Markets, 11(5), 613-621.
    • (1991) Journal of Futures Markets , vol.11 , Issue.5 , pp. 613-621
    • Najand, M.1    Yung, K.2
  • 12
    • 84971844636 scopus 로고
    • Price volatility, trading volume and market depth: Evidence form futures markets
    • BESSEMBINDER, H. and SEGUIN, P. J., 1993, Price volatility, trading volume and market depth: evidence form futures markets. Journal of Financial and Quantitative Analysis, 28(1), 21-39.
    • (1993) Journal of Financial and Quantitative Analysis , vol.28 , Issue.1 , pp. 21-39
    • Bessembinder, H.1    Seguin, P.J.2
  • 13
    • 84978554960 scopus 로고
    • Volume-volatility relationships for the crude oil futures markets
    • FOSTER, A. J., 1995, Volume-volatility relationships for the crude oil futures markets. Journal of Futures Markets, 15, 929-951.
    • (1995) Journal of Futures Markets , vol.15 , pp. 929-951
    • Foster, A.J.1
  • 14
    • 0742274554 scopus 로고    scopus 로고
    • The dynamic relation between stock returns, trading volume, and volatility
    • CHEN, G., FIRTH, M. and RUI, O. M., 2001, The dynamic relation between stock returns, trading volume, and volatility. The Financial Review, 38, 153-174.
    • (2001) The Financial Review , vol.38 , pp. 153-174
    • Chen, G.1    Firth, M.2    Rui, O.M.3
  • 15
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroscedasticity with estimates of variance of United Kingdom inflation
    • ENGLE, R. F., 1982, Autoregressive conditional heteroscedasticity with estimates of variance of United Kingdom inflation. Econometrica, 50(4), 987-1006.
    • (1982) Econometrica , vol.50 , Issue.4 , pp. 987-1006
    • Engle, R.F.1
  • 16
    • 42449156579 scopus 로고
    • Generalised autoregressive conditional heteroscedasticity
    • BOLLERSLEV, T., 1986, Generalised autoregressive conditional heteroscedasticity. Journal of Econometrics, 31, 307-327.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 17
    • 0000756720 scopus 로고
    • The stochastic dependence of security price changes and transaction volumes: Implications for the mixture-of-distributions hypothesis
    • EPPS, T. W. and EPPS, M. L., 1976, The stochastic dependence of security price changes and transaction volumes: implications for the mixture-of-distributions hypothesis. Econometrica, 44, 305-321.
    • (1976) Econometrica , vol.44 , pp. 305-321
    • Epps, T.W.1    Epps, M.L.2
  • 18
    • 84977337090 scopus 로고
    • An equilibrium model of asset trading with sequential information arrival
    • JENNINGS, R. H., STARKS, L. T. and FELLINGHAM, J. C., 1981, An equilibrium model of asset trading with sequential information arrival. Journal of Finance, 36, 143-161.
    • (1981) Journal of Finance , vol.36 , pp. 143-161
    • Jennings, R.H.1    Starks, L.T.2    Fellingham, J.C.3
  • 19
    • 84993865825 scopus 로고
    • Market statistics and technical analysis: The role of volume
    • BLUME, L., EASLEY, D. and O'HARA, M., 1994, Market statistics and technical analysis: the role of volume. Journal of Finance, 49, 153-181.
    • (1994) Journal of Finance , vol.49 , pp. 153-181
    • Blume, L.1    Easley, D.2    O'hara, M.3
  • 22
    • 84993869057 scopus 로고
    • Testing for linear and non-linear Granger causality in the stock price-volume relationship
    • HEIMSTRA, C. and JONES, J., 1994, Testing for linear and non-linear Granger causality in the stock price-volume relationship. Journal of Finance, 1639-1664.
    • (1994) Journal of Finance , pp. 1639-1664
    • Heimstra, C.1    Jones, J.2
  • 23
    • 0033099854 scopus 로고    scopus 로고
    • Testing for linear and nonlinear Granger causality in the stock price-volume relation: Korean evidence
    • SILVAPULLE, P. and CHOI, J. S., 1999, Testing for linear and nonlinear Granger causality in the stock price-volume relation: Korean evidence. Quarterly Review of Economics and Finance, 39(1), 59-76.
    • (1999) Quarterly Review of Economics and Finance , vol.39 , Issue.1 , pp. 59-76
    • Silvapulle, P.1    Choi, J.S.2
  • 24
    • 0032084628 scopus 로고    scopus 로고
    • The stock price-volume relationship in emerging stock markets: The case of Latin America
    • SAATCIOGLU, K. and STARKS, L. T., 1998, The stock price-volume relationship in emerging stock markets: the case of Latin America. International Journal of Forecasting, 14(2), 215-226.
    • (1998) International Journal of Forecasting , vol.14 , Issue.2 , pp. 215-226
    • Saatcioglu, K.1    Starks, L.T.2
  • 25
    • 0042851768 scopus 로고    scopus 로고
    • The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence
    • LEE, B. S. and RUI, O. M., 2002, The dynamic relationship between stock returns and trading volume: domestic and cross-country evidence. Journal of Banking and Finance, 26, 51-78.
    • (2002) Journal of Banking and Finance , vol.26 , pp. 51-78
    • Lee, B.S.1    Rui, O.M.2
  • 26
    • 0000351727 scopus 로고
    • Investigating causal relations by econometric models and cross spectral methods
    • GRANGER, C., 1969, Investigating causal relations by econometric models and cross spectral methods. Econometrica, 37, 424-438.
    • (1969) Econometrica , vol.37 , pp. 424-438
    • Granger, C.1
  • 27
    • 0000120766 scopus 로고
    • Estimating the dimension of a model
    • SCHWARZ, G., 1978, Estimating the dimension of a model. Analysis of Statistics, 6, 461-464.
    • (1978) Analysis of Statistics , vol.6 , pp. 461-464
    • Schwarz, G.1
  • 28
    • 0000641348 scopus 로고
    • Conditional heteroscedasticity in asset returns: A new approach
    • NELSON, D. B., 1991, Conditional heteroscedasticity in asset returns: a new approach. Econometrica, 59, 347-370.
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Nelson, D.B.1
  • 29
    • 70349218800 scopus 로고
    • Quasi-maximum likelihood estimation of dynamic models with time varying covariances
    • BOLLERSLEV, T. and WOOLDRIDGE, J. M., 1992, Quasi-maximum likelihood estimation of dynamic models with time varying covariances. Econometric Reviews, 11, 143-172.
    • (1992) Econometric Reviews , vol.11 , pp. 143-172
    • Bollerslev, T.1    Wooldridge, J.M.2
  • 30
    • 0000401690 scopus 로고    scopus 로고
    • The dynamics of time-varying volatilities in different size second-hand ship prices of the dry-cargo sector
    • KAVUSSANOS, M., 1997, The dynamics of time-varying volatilities in different size second-hand ship prices of the dry-cargo sector. Applied Economics, 29, 433-443.
    • (1997) Applied Economics , vol.29 , pp. 433-443
    • Kavussanos, M.1
  • 31
    • 0036589237 scopus 로고    scopus 로고
    • The expectation hypothesis of the term structure and risk premium in the dry bulk shipping freight markets
    • KAVUSSANOS, M. and ALIZADEH, A. H., 2002, The expectation hypothesis of the term structure and risk premium in the dry bulk shipping freight markets. Journal of Transport Economics and Policy, 36(2), 267-304.
    • (2002) Journal of Transport Economics and Policy , vol.36 , Issue.2 , pp. 267-304
    • Kavussanos, M.1    Alizadeh, A.H.2
  • 32
    • 35548931351 scopus 로고
    • Efficient tests for normality, heteroskedasticity, and serial independence of regression residuals
    • BERA, A. and JARQUE, C., 1980, Efficient tests for normality, heteroskedasticity, and serial independence of regression residuals. Economic Letters, 6, 255-259.
    • (1980) Economic Letters , vol.6 , pp. 255-259
    • Bera, A.1    Jarque, C.2
  • 33
    • 0017846358 scopus 로고
    • On a measure of lack of fit in time series models
    • LJUNG, M. and BOX, G., 1978, On a measure of lack of fit in time series models. Biometrika, 65, 297-303.
    • (1978) Biometrika , vol.65 , pp. 297-303
    • Ljung, M.1    Box, G.2
  • 34
    • 77956888124 scopus 로고
    • Testing for a Unit Root in Time Series Regressions
    • PHILLIPS, P. and PERRON, P., 1988, Testing for a Unit Root in Time Series Regressions. Biometrica, 75, 335-346.
    • (1988) Biometrica , vol.75 , pp. 335-346
    • Phillips, P.1    Perron, P.2
  • 35
    • 0000706085 scopus 로고
    • A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • NEWEY, W. and WEST, K., 1987, A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55, 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.2
  • 36
    • 84993924525 scopus 로고
    • Measuring and testing the impact of news on volatility
    • ENGLE, R. F. and NG, V. K., 1993, Measuring and testing the impact of news on volatility. Journal of Finance, 48, 1749-1778.
    • (1993) Journal of Finance , vol.48 , pp. 1749-1778
    • Engle, R.F.1    Ng, V.K.2
  • 37
    • 84993858135 scopus 로고
    • Stock, price dynamics and firm size: An empirical investigation
    • CHEUNG, Y. W. and NG, L., 1992, Stock price dynamics and firm size: an empirical investigation. Journal of Finance, 47, 1985-1997.
    • (1992) Journal of Finance , vol.47 , pp. 1985-1997
    • Cheung, Y.W.1    Ng, L.2
  • 38
    • 0000035408 scopus 로고    scopus 로고
    • Asymmetries in conditional mean and the conditional variance: Evidence from nine stock markets
    • KOUTMOS, G., 1998, Asymmetries in conditional mean and the conditional variance: evidence from nine stock markets. Journal of Economics and Business, 50, 277-290.
    • (1998) Journal of Economics and Business , vol.50 , pp. 277-290
    • Koutmos, G.1
  • 39
    • 0000658999 scopus 로고
    • The price variability-volume relationship on speculative markets
    • TAUCHEN, G. E. and PITTS, M., 1983, The price variability-volume relationship on speculative markets. Econometrica, 51, 485-505.
    • (1983) Econometrica , vol.51 , pp. 485-505
    • Tauchen, G.E.1    Pitts, M.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.