Evidence of oil market price clustering during the COVID-19 pandemic.
Int Rev Financ Anal
; 80: 102009, 2022 Mar.
Article
in English
| MEDLINE | ID: covidwho-1587480
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.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Type of study:
Health_economic_evaluation
Language:
English
Journal:
Int Rev Financ Anal
Year:
2022
Document Type:
Article
Affiliation country:
J.irfa.2021.102009
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