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

被引：21
|
作者：
Narayan, Paresh Kumar [1 ]
机构：
[1] Monash Univ, Monash Business Sch, Wellington Rd, Melbourne, Vic 3800, Australia
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2022年 / 80卷
关键词：
COVID-19; Price clustering; Oil price; PSYCHOLOGICAL BARRIERS; FUTURES; GOLD;
D O I：
10.1016/j.irfa.2021.102009
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页数：6
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