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Price and volatility spillovers across the international steam coal market

Price and volatility spillovers across the international steam coal market
Price and volatility spillovers across the international steam coal market
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.
integration, information transmission, steam coal, Generalized VAR model
0140-9883
Batten, Jonathan
9d9c392d-eea6-4113-8a96-759b53318af8
Brzeszczynski, Janusz
75889fb6-90d9-40d1-b7e3-98e67c8dafb8
Ciner, Cetin
cf7b4a40-8c6b-4105-ab75-cfd1547e79c0
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe
Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Batten, Jonathan
9d9c392d-eea6-4113-8a96-759b53318af8
Brzeszczynski, Janusz
75889fb6-90d9-40d1-b7e3-98e67c8dafb8
Ciner, Cetin
cf7b4a40-8c6b-4105-ab75-cfd1547e79c0
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe
Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889

Batten, Jonathan, Brzeszczynski, Janusz, Ciner, Cetin, Lau, Chi Keung Marco, Lucey, Brian and Yarovaya, Larisa (2019) Price and volatility spillovers across the international steam coal market. Energy Economics. (doi:10.1016/j.eneco.2018.12.002).

Record type: Article

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.

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Price_and_Volatility_Spillovers_Across_the_International_Steam_Coal_Market - Accepted Manuscript
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Accepted/In Press date: 3 December 2018
e-pub ahead of print date: 5 January 2019
Keywords: integration, information transmission, steam coal, Generalized VAR model

Identifiers

Local EPrints ID: 427718
URI: http://eprints.soton.ac.uk/id/eprint/427718
ISSN: 0140-9883
PURE UUID: cfeeef8f-95f9-4feb-ad32-3d75f207d33c
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917

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Date deposited: 25 Jan 2019 17:30
Last modified: 28 Apr 2022 05:08

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Contributors

Author: Jonathan Batten
Author: Janusz Brzeszczynski
Author: Cetin Ciner
Author: Chi Keung Marco Lau
Author: Brian Lucey
Author: Larisa Yarovaya ORCID iD

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