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 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.

Automated summary

Based on hourly data, it was found that the phenomenon of price clustering in the oil market is more significant during the COVID-19 period, with up to 30% of the behavior attributed to the pandemic. Additionally, a simple technical trading strategy showed no evidence of profitability in the oil market during the COVID-19 period.