Dynamic price discovery in China’s thermal coal future market

Zhipeng Yan, Shenghong Li, Gongmin Zhao and Juanmei Zhou

Applied Economics Letters, 2021, vol. 28, issue 4, 255-259

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.

Date: 2021
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DOI: 10.1080/13504851.2020.1751046

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