Price and volatility spillovers across the international steam coal market.

Batten, Jonathan A.; Brzeszczynski, Janusz; Ciner, Cetin; Lau, Marco C.K.; Lucey, Brian; Yarovaya, Larisa

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.

• Journal Article Type: Article
• Acceptance Date: Dec 3, 2018
• Online Publication Date: Mar 19, 2019
• Publication Date: Jan 31, 2019
• Deposit Date: May 4, 2023
• Publicly Available Date: May 4, 2023
• Journal: Energy economics
• Print ISSN: 0140-9883
• Electronic ISSN: 1873-6181
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 77
• Pages: 119-138
• DOI: https://doi.org/10.1016/j.eneco.2018.12.002
• Keywords: Integration; Information transmissions; Generalized VAR model; Steam coal
• Public URL: https://rgu-repository.worktribe.com/output/1952717
• Additional Information: This article has been published with separate supporting information. This supporting information has been incorporated into a single file on this repository and can be found at the end of the file associated with this output.