Price discovery and risk management in asset class: a bibliometric analysis and research agenda

【Author】 Gairola, Gaurav; Dey, Kushankur

【Source】APPLIED ECONOMICS LETTERS

【影响因子】1.287

【Abstract】This paper presents a bibliometric review of 2,391 publications on price discovery and hedging in financial assets and commodities. The discipline-wise contribution of publications and journal distribution based on the frequency of relevant research articles are reported. Five overarching themes have emerged from the content analysis, namely: (1) price discovery, (2) hedging in commodities, financial assets, and cryptocurrency, (3) market interconnectedness and volatility spillover, (4) market microstructure in pre- and post-financial crisis, and (5) asset allocation, diversification, and portfolio management. We propose three future research streams, namely predictability in uncertainty, short-term portfolio adjustment, and dynamic trading strategies, with nine research questions that can help investors and stock/commodity exchanges in an active portfolio and derivative contract management.

【Keywords】Price discovery; market efficiency; volatility; risk management; bibliometric analysis

【发表时间】

【收录时间】2022-07-17

【文献类型】综述

【主题类别】

区块链治理-市场治理-市场分析