TY - JOUR
T1 - Price and volatility spillovers across the international steam coal market
AU - Batten, Jonathan A.
AU - Brzeszczynski, Janusz
AU - Ciner, Cetin
AU - Lau, Marco Chi Keung
AU - Lucey, Brian
AU - Yarovaya, Larisa
N1 - Publisher Copyright:
© 2019 Elsevier B.V.
Copyright:
Copyright 2019 Elsevier B.V., All rights reserved.
PY - 2019/1/5
Y1 - 2019/1/5
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=85061082858&partnerID=8YFLogxK
U2 - 10.1016/j.eneco.2018.12.002
DO - 10.1016/j.eneco.2018.12.002
M3 - Article
AN - SCOPUS:85061082858
SN - 0140-9883
VL - 77
SP - 119
EP - 138
JO - Energy Economics
JF - Energy Economics
ER -