TY - JOUR
T1 - Evidence of oil market price clustering during the COVID-19 pandemic
AU - Narayan, Paresh Kumar
N1 - Funding Information:
An earlier version of this paper was presented at the 6th Asia-Pacific Applied Economics Association and Energy Economic Special issue conference on June 19, 2021. This research was supported by a research grant on COVID-19 pandemic from the Asia-Pacific Applied Economics Association. Helpful comments and suggestions on earlier versions of this paper from conference participants and reviewers of this journal are acknowledged. The usual disclaimer applies.
Publisher Copyright:
© 2021 Elsevier Inc.
PY - 2022/3
Y1 - 2022/3
N2 - 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.
AB - 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.
KW - COVID-19
KW - Oil price
KW - Price clustering
UR - https://www.scopus.com/pages/publications/85121973555
U2 - 10.1016/j.irfa.2021.102009
DO - 10.1016/j.irfa.2021.102009
M3 - Article
AN - SCOPUS:85121973555
SN - 1057-5219
VL - 80
JO - International Review of Financial Analysis
JF - International Review of Financial Analysis
M1 - 102009
ER -