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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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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container_title Applied economics letters
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creator Yan, Zhipeng
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description 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.
doi_str_mv 10.1080/13504851.2020.1751046
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source EBSCOhost Business Source Ultimate; International Bibliography of the Social Sciences (IBSS); EBSCOhost Econlit with Full Text; Taylor and Francis Social Sciences and Humanities Collection
subjects Bekk-GARCH
Coal
Discovery
Dynamic price discovery
Economic analysis
Economic theory
Economics
Futures market
MIS model
Stochastic models
thermal coal future
title Dynamic price discovery in China's thermal coal future market
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