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Psychological Barriers and Price Clustering in Energy Futures

Brian Lucey, Corresponding Author Business School and Institute for International Integration Studies, Trinity College Dublin, Dublin 2, Ireland, and Glasgow School for Business, Glasgow Caledonian University Cowcaddens Road Glasgow G4 0BA Scotland, UK

IIIS Discussion Paper No. 405


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.

JEL classification: G14; G15
Keywords: WTI oil futures, coal futures, gas, oil, psychological barriers, behavioural finance, clustering, barriers



Last updated 28 August 2014 by IIIS (Email).