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

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.

KEYWORDS:

• Price discovery
• market efficiency
• volatility
• risk management
• bibliometric analysis

JEL CLASSIFICATION:

• G11
• G12
• G13
• G14

Disclosure statement

No potential conflict of interest was reported by the author(s).