Dynamic price discovery in China’s thermal coal future market

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.

KEYWORDS:

• Dynamic price discovery
• MIS model
• Bekk-GARCH
• thermal coal future

JEL CLASSIFICATION:

• C32
• C51
• G13

Acknowledgments

This work was supported by Program for the Philosophy and Social Sciences Research of Higher Learning Institutions of Shanxi [2019W096]; the National Natural Science Foundation of China [NO.11571310]; and Program for the Soft Science Research of Shanxi Province [NO. 2018041048-6].

Disclosure statement

No potential conflict of interest was reported by the authors.

Additional information

Funding

This work was supported by Program for the Philosophy and Social Sciences Research of Higher Learning Institutions of Shanxi [2019W096]; the National Natural Science Foundation of China [11571310]; and Program for the Soft Science Research of Shanxi Province [2018041048-6].