A cointegrating stock trading strategy: application to listed tanker shipping companies
Abstract In the current paper, we propose a strategy to trade a portfolio of listed shipping companies in the US market. In particular, we estimate a co-integrating relationship between the weekly stock market returns of a portfolio of tanker shipping companies and the Baltic Tanker Index, exploitin...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2019-10-01
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| Series: | Journal of Shipping and Trade |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s41072-019-0049-2 |