Dynamic price discovery in China's thermal coal future market

We derive a dynamic price discovery measure by extending Lien's MIS model to a dynamic one with BEKK-GARCH model and analyse the price discovery process of China's thermal coal future market. Future plays a dominant role in the price discovery process, and its information share is negative...

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Bibliographic Details
Published in:Applied economics letters 2021-02, Vol.28 (4), p.255-259
Main Authors: Yan, Zhipeng, Li, Shenghong, Zhao, Gongmin, Zhou, Juanmei
Format: Article
Language:English
Subjects:
Bekk-GARCH
Coal
Discovery
Dynamic price discovery
Economic analysis
Economic theory
Economics
Futures market
MIS model
Stochastic models
thermal coal future
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Summary:We derive a dynamic price discovery measure by extending Lien's MIS model to a dynamic one with BEKK-GARCH model and analyse the price discovery process of China's thermal coal future market. Future plays a dominant role in the price discovery process, and its information share is negatively related to turnover and speculation, positively related to transaction fee and margin, suggesting there is speculation in the market.
ISSN:1350-4851
1466-4291
DOI:10.1080/13504851.2020.1751046