Investigating price clustering in the oil futures market

Paresh Kumar Narayan, Seema Narayan, Stephan Popp

Research output: Contribution to journalArticleResearchpeer-review

24 Citations (Scopus)

Abstract

Price clustering can be a source of market inefficiency. It follows that searching for price clustering in markets have gone beyond share prices into real estate, interest rate, and exchange rate markets. In this paper, we extend this line of research to oil futures markets. In particular, we consider five different forms of oil futures contracts and test for evidence of price clustering. Our results reveal strong presence of price clustering in the oil futures market. This finding implies that price clustering can potentially be a source of oil market inefficiency, which can influence trading strategies.

Original languageEnglish
Pages (from-to)397-402
Number of pages6
JournalApplied Energy
Volume88
Issue number1
DOIs
Publication statusPublished - Jan 2011
Externally publishedYes

Keywords

  • Contracts
  • Futures market
  • Market inefficiency
  • Oil
  • Price clustering
  • Trading

Cite this