Investigating Price Clustering in the Oil Futures Market

Applied Energy, 88(1): 397-402, 2011

Posted: 10 Jun 2012

See all articles by Paresh Kumar Narayan

Paresh Kumar Narayan

Deakin University - School of Accounting, Economics and Finance

Seema Narayan

affiliation not provided to SSRN

Stephan Popp

University of Duisburg-Essen - Faculty of Economic Science

Date Written: 2011

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.

Suggested Citation

Narayan, Paresh Kumar and Narayan, Seema and Popp, Stephan, Investigating Price Clustering in the Oil Futures Market (2011). Applied Energy, 88(1): 397-402, 2011, Available at SSRN: https://ssrn.com/abstract=2080587

Paresh Kumar Narayan (Contact Author)

Deakin University - School of Accounting, Economics and Finance ( email )

221 Burwood Highway
Burwood, Victoria 3215
Australia

Seema Narayan

affiliation not provided to SSRN ( email )

Stephan Popp

University of Duisburg-Essen - Faculty of Economic Science ( email )

Essen, 45117
Germany

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