Price and Volatility Spillovers Across the International Steam Coal Market

Jonathan Batten, Janusz Brzeszczynski, Cetin Ciner, Chi Keung Lau, Brian M. Lucey, Larisa Yarovaya

Research output: Contribution to journalArticle

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.
LanguageEnglish
JournalEnergy Economics
Early online date5 Jan 2019
DOIs
Publication statusE-pub ahead of print - 5 Jan 2019

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Steam
Coal
Volatility spillover

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Batten, Jonathan ; Brzeszczynski, Janusz ; Ciner, Cetin ; Lau, Chi Keung ; Lucey, Brian M. ; Yarovaya, Larisa. / Price and Volatility Spillovers Across the International Steam Coal Market. In: Energy Economics. 2019.
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Price and Volatility Spillovers Across the International Steam Coal Market. / Batten, Jonathan; Brzeszczynski, Janusz; Ciner, Cetin; Lau, Chi Keung; Lucey, Brian M.; Yarovaya, Larisa.

In: Energy Economics, 05.01.2019.

Research output: Contribution to journalArticle

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KW - Generalized VAR model

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