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Price and volatility spillovers across the international steam coal market

Jonathan Batten (), Janusz Brzeszczynski, Cetin Ciner, Marco C.K. Lau, Brian Lucey () and Larisa Yarovaya

Energy Economics, 2019, vol. 77, issue C, 119-138

Abstract: We examine the degree of integration of the global steam coal market. Using a variety of measures, we show that the Australian market remains the dominant force in setting world coal prices, followed by Mozambique and South Africa. We find little evidence of asymmetric price and volatility transmission. In fact, most markets react to both positive and negative shocks in a symmetric manner. The coal market displays a significant degree of integration, although this effect varies over time. While China provides a major source of volatility to the global coal market, it is relatively insignificant in terms of price transmission.

Keywords: Integration; Information transmissions; Generalized VAR model; Steam coal (search for similar items in EconPapers)
JEL-codes: C32 F18 F49 Q37 (search for similar items in EconPapers)
Date: 2019
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