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Psychological Barriers and Price Clustering in Energy Futures

Author

Listed:
  • Brian Lucey

    (Institute for International Integration Studies, Trinity College Dublin)

  • Michael Dowling

    (Trinity College dublin)

Abstract

We find evidence for price clustering in both oil and coal price data. We further find that there is significant evidence that these clusterings represent psychological barriers, and that these affect both the level and the volatility of prices around these barriers.

Suggested Citation

  • Brian Lucey & Michael Dowling, 2012. "Psychological Barriers and Price Clustering in Energy Futures," The Institute for International Integration Studies Discussion Paper Series iiisdp405, IIIS.
    • Handle: RePEc:iis:dispap:iiisdp405
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    Cited by:

    1. Li, Dan & Liu, Lixin & Xu, Guangli, 2023. "Psychological barriers and option pricing in a local volatility model," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).

    More about this item

    Keywords

    WTI oil futures; coal futures; gas; oil; psychological barriers; behavioural finance; clustering; barriers;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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