Price discovery and risk management in asset class: a bibliometric analysis and research agenda

Gaurav Gairola and Kushankur Dey

Applied Economics Letters, 2023, vol. 30, issue 17, 2320-2331

Abstract: This paper presents a bibliometric review of 2,391 publications on price discovery and hedging in financial assets and commodities. The discipline-wise contribution of publications and journal distribution based on the frequency of relevant research articles are reported. Five overarching themes have emerged from the content analysis, namely: (1) price discovery, (2) hedging in commodities, financial assets, and cryptocurrency, (3) market interconnectedness and volatility spillover, (4) market microstructure in pre- and post-financial crisis, and (5) asset allocation, diversification, and portfolio management. We propose three future research streams, namely predictability in uncertainty, short-term portfolio adjustment, and dynamic trading strategies, with nine research questions that can help investors and stock/commodity exchanges in an active portfolio and derivative contract management.

Date: 2023
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DOI: 10.1080/13504851.2022.2096859

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