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