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Analysis of brand influence in the rockets and feathers effect using disaggregated data

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  • Palencia-González, Francisco J.
  • Navío-Marco, Julio
  • Juberías-Cáceres, Gema

Abstract

This paper studies price asymmetries (the ‘rockets and feathers effect’) at the firm level using an approach that fundamentally differs from the previous literature. The research analyses the Spanish oil market, using more than 11 million daily price records from December, 23, 2014, to December 31, 2017. We apply the most common econometric approach to investigate asymmetry, the error correction model, and find asymmetries for all brands, either classic brands or low-cost flag brands. Classic brands make price adjustments in shorter periods, whereas supermarket brands, as well as independent and low-cost brands, correct prices only slowly. This research makes an original contribution to the study of the rockets and feathers phenomenon using brands as the units of analysis. The speed of price adjustments is especially relevant to understanding oil market price dynamics.

Suggested Citation

  • Palencia-González, Francisco J. & Navío-Marco, Julio & Juberías-Cáceres, Gema, 2020. "Analysis of brand influence in the rockets and feathers effect using disaggregated data," Research in International Business and Finance, Elsevier, vol. 52(C).
  • Handle: RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919306385
    DOI: 10.1016/j.ribaf.2019.101168
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    Keywords

    Oil pricing; Price adjustments; Rockets and feathers; Oil market;

    JEL classification:

    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • L13 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Oligopoly and Other Imperfect Markets
    • Q48 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Government Policy

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