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

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 sam...

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Detalles Bibliográficos
Autor principal: Narayan, Paresh Kumar
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8694788/
https://www.ncbi.nlm.nih.gov/pubmed/36536789
http://dx.doi.org/10.1016/j.irfa.2021.102009
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author Narayan, Paresh Kumar
author_facet Narayan, Paresh Kumar
author_sort Narayan, Paresh Kumar
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description 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.
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spelling pubmed-86947882021-12-23 Evidence of oil market price clustering during the COVID-19 pandemic Narayan, Paresh Kumar Int Rev Financ Anal Article 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. Elsevier Inc. 2022-03 2021-12-22 /pmc/articles/PMC8694788/ /pubmed/36536789 http://dx.doi.org/10.1016/j.irfa.2021.102009 Text en © 2021 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Narayan, Paresh Kumar
Evidence of oil market price clustering during the COVID-19 pandemic
title Evidence of oil market price clustering during the COVID-19 pandemic
title_full Evidence of oil market price clustering during the COVID-19 pandemic
title_fullStr Evidence of oil market price clustering during the COVID-19 pandemic
title_full_unstemmed Evidence of oil market price clustering during the COVID-19 pandemic
title_short Evidence of oil market price clustering during the COVID-19 pandemic
title_sort evidence of oil market price clustering during the covid-19 pandemic
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8694788/
https://www.ncbi.nlm.nih.gov/pubmed/36536789
http://dx.doi.org/10.1016/j.irfa.2021.102009
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