Serial Number

Year/Journal

Author(s)

Main subject

Econometric method

Remarks

1

1996

MP&M

Kavussanos M

Bilateral seaborne-trade flows

Neoclassical optimization; using objective function (=CRESH)

1971

2

1996

TEP

Kavussanos M

Volatility in dry cargo freight rates, 1973-1992; TC for Cape, Panamax and Handy

Reduced form;

Co-integration; order 1; RW

Granger 1981; 1983; Engle & Granger 1987; Johansen 1988

3

1996

LTR

Kavussanos M

Risk among sizes (tankers); in spot and time charters; and in dry bulk freight market

ARCH; GARCH

ARCH (Engle 1982); GARCH (1986) (Bollerslev)

4

1996

MP&M

Grammenos

& Marcoulis

Company’s beta-β relationship to stock exchange, leverage, average fleet age and dividends, 1989-1993

OLS; a cross section regression

1973 “Fama and MacBeth”

5

1996

MP&M

Berg-Andreassen

BFI 1985-1988, 1980-1989;

2^nd hand prices of dry bulk

Co-integration;

Johansen 1990

6

1996

MP&M

(Comment on)

Glen

The relationship between the level of shipping gross investment and incentives (1963-1993; 1963-1987)

Co-integration; ECM; time series; OLS

Critique against McWilliams et al., 1995; Marlow 1991; Goss & Marlow, 1997; Gardner, 1999

7

1996

MP&M

Chang & Chang

BIFFEX’s predictability (1985-1993)

Linear regression; OLS

Autocorrelation; Durbin/Watson 1976; “spurious regression”

8

1997

TR, A

Veenstra

& Franses

Monthly freight rates, 1983-1993, dry cargo, logarithms

Series non-stationary at 1% confidence level; co-integration of order 1

ADF with no trend;

RW

9

1997

AE

Kavussanos, M

Volatility in 2^nd hand prices of different sized dry bulks (monthly, 1976-1995) seasonal data-logs; time charters

Integration no 1;

Time charters found

stationary

RW

Contra with Kavussanos (1996) on volatility

10

1997

MP&M

Li & Parsons

Forecasting tanker freight rates

“Artificial Neural Networks”

Non-linear regression

11

1997

MPM

Berg-Andreassen

Spots vis-à-vis time charters (BFI)-changes

Co-integration no 1; ADF; Johansen 1988; Koyck model

Normal distribution at 10% confidence level. All previous models rejected; RW

12

1997

MP&M

Glen

Monthly observations of tanker and dry cargo markets; Co-integrated inefficient? 2^nd hand log ship prices, 1979-1995 & 1979-1988, are co-integrated of order 1

RW

13

1997

MP&M

Glen & Rogers

Dry cargo time series of Capes

Co-integration (Johansen, 1988); VCM

14

1997

MP&M

Kavussanos & Marcoulis

Water transportation Companies’ performance in NYSE, 1985-1994, 1984-1995, and risk; betas

CAPM; co-integration, stationarity

Average beta < than market’s; stocks not underpriced; no risk for 1984-1989; “alpha” affected

15

1997

TR, E

Kavussanos & Marcoulis

Lower betas for US Water transportation