Price and Volatility Spillovers Across the International Steam Coal Market

53 Pages Posted: 31 Mar 2017

See all articles by Jonathan A. Batten

Jonathan A. Batten

RMIT University; The University of Sydney

Janusz Brzeszczynski

Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom

Cetin Ciner

University of North Carolina at Wilmington

Chi Keung Lau

University of Huddersfield

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Sydney Business School; Ho Chi Minh City University of Economics and Finance; Jiangxi University of Finance and Economics

Larisa Yarovaya

University of Southampton - Southampton Business School

Date Written: March 30, 2017

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 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.

Keywords: Integration; Information transmissions; Generalized VAR model; Steam coal

JEL Classification: C32, F18, F49, Q37

Suggested Citation

Batten, Jonathan A. and Brzeszczynski, Janusz and Ciner, Cetin and Lau, Chi Keung and Lucey, Brian M. and Yarovaya, Larisa, Price and Volatility Spillovers Across the International Steam Coal Market (March 30, 2017). Available at SSRN: https://ssrn.com/abstract=2943359 or http://dx.doi.org/10.2139/ssrn.2943359

Jonathan A. Batten

RMIT University ( email )

Level 12, 239 Bourke Street
Melbourne, Victoria
Australia

HOME PAGE: http://https://www.rmit.edu.au/contact/staff-contacts/academic-staff/b/batten-professor-jonathan

The University of Sydney ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

HOME PAGE: http://https://business.sydney.edu.au/staff/jonathan.batten

Janusz Brzeszczynski

Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom ( email )

Department of Accounting and Financial Management
City Campus East
Newcastle upon Tyne, NE1 8ST
United Kingdom

Cetin Ciner

University of North Carolina at Wilmington ( email )

Wilmington, NC 28403
United States

Chi Keung Lau

University of Huddersfield ( email )

Queensgate
Huddersfield HD1 3DH, West Yorkshire HD1 3DH
United Kingdom

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen Dình Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

Larisa Yarovaya

University of Southampton - Southampton Business School ( email )

Highfield
University Road
Southampton, SO17 1BJ
United Kingdom

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