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Applied Economics Letters Volume 28, 2021 - Issue 4
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Research Article

Dynamic price discovery in China’s thermal coal future market

Zhipeng Yana School of Economics and Management, North University of China, Taiyuan, ChinaCorrespondence[email protected]
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,
Shenghong Lib School of Mathematical Sciences, Zhejiang University, Hangzhou, ChinaView further author information
,
Gongmin Zhaoa School of Economics and Management, North University of China, Taiyuan, ChinaView further author information
&
Juanmei Zhoua School of Economics and Management, North University of China, Taiyuan, ChinaView further author information
Pages 255-259 | Published online: 12 Apr 2020

References

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  • Frino, A., and A. West. 2003. “The Impact of Transaction Costs on Price Discovery: Evidence from Cross-Listed Stock Index Futures Contracts.” Pacific-Basin Finance Journal 11 (2): 139–151. doi:10.1016/S0927-538X(02)00111-7.
  • Hasbrouck, J. 1995. “One Security, Many Markets: Determining the Contributions to Price Discovery.” The Journal of Finance 50 (4): 1175–1199. doi:10.1111/j.1540-6261.1995.tb04054.x.
  • Kim, K., and S. Lim. 2019. “Price Discovery and Volatility Spillover in Spot and Futures Markets: Evidences from Steel-Related Commodities in China.” Applied Economics Letters 26 (5): 351–357. doi:10.1080/13504851.2018.1478385.
  • Libin, T., P. Wanbin, and H. Junzhe. 2014. “The Determinants of Price Discovery in CSI300 Stock Index Futures.” Journal of Financial Research 4: 128–142.
  • Lien, D., and K. Shrestha. 2009. “A New Information Share Measure.” Journal of Futures Markets 29 (4): 377–395. doi:10.1002/fut.20356.
  • Yan, Y., and Z. Guiyu. 2019. “The Empirical Study on Price Discovery of Cornstarch Futures Market in China.” Applied Economics Letters 26 (13): 1100–1103. doi:10.1080/13504851.2018.1537472.

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