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Dynamic price discovery in China’s thermal coal future market

Author

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  • Zhipeng Yan
  • Shenghong Li
  • Gongmin Zhao
  • Juanmei Zhou

Abstract

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.

Suggested Citation

  • Zhipeng Yan & Shenghong Li & Gongmin Zhao & Juanmei Zhou, 2021. "Dynamic price discovery in China’s thermal coal future market," Applied Economics Letters, Taylor & Francis Journals, vol. 28(4), pages 255-259, February.
    • Handle: RePEc:taf:apeclt:v:28:y:2021:i:4:p:255-259
    DOI: 10.1080/13504851.2020.1751046
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    Cited by:

    1. Xiaojie Xu & Yun Zhang, 2022. "Commodity price forecasting via neural networks for coffee, corn, cotton, oats, soybeans, soybean oil, sugar, and wheat," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 29(3), pages 169-181, July.

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