Evidence of oil market price clustering during the COVID-19 pandemic

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Abstract

We use hourly data on opening price, closing price, opening ask price, opening bid price, closing ask price and closing bid price to show that while oil prices are characterized by price clustering behavior, prices tend to cluster on numbers closer to zero than to one. Comparing the pre-COVID-19 sample with the COVID-19 sample, we find that evidence of price clustering is 8% more in the COVID-19 sample. We test the determinants of price clustering and find that as much as 30% of the price clustering behavior can be attributed to the COVID-19 pandemic. Finally, using a simple technical trading strategy, we do not find any evidence that the oil market is profitable in the COVID-19 period.

Original languageEnglish
Article number102009
Number of pages6
JournalInternational Review of Financial Analysis
Volume80
DOIs
Publication statusPublished - Mar 2022

Keywords

  • COVID-19
  • Oil price
  • Price clustering

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