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• W4223553824 abstract "The ongoing COVID-19 shocked financial markets globally, including China’s crude oil future market, which is the third-most traded crude oil futures after WTI and Brent. As China’s first crude oil futures are accessible to foreign investors, the Shanghai crude oil futures (SC) have attracted significant interest since launch at the Shanghai International Energy Exchange. The impact of COVID-19 on the new crude oil futures is an important issue for investors and policy makers. Therefore, this paper studies the short-term influence of COVID-19 pandemic on SC via multifractal analysis. We compare the market efficiency of SC before and during the pandemic with the multifractal detrended fluctuation analysis and other commonly used random walk tests. Then, we generate shuffled and surrogate data to investigate the components of multifractal nature in SC. And we examine cross-correlations between SC returns and other financial assets returns as well as SC trading volume changes by the multifractal detrended cross-correlation analysis. The results show that market efficiency of SC and its cross-correlations with other assets increase significantly after the outbreak of COVID-19. Besides that, the sources of its multifractal nature have changed since the pandemic. The findings provide evidence for the short-term impacts of COVID-19 on SC. The results may have important implications for assets allocation, investment strategies and risk monitoring." @default.
• W4223553824 created "2022-04-15" @default.
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• W4223553824 date "2022-11-23" @default.
• W4223553824 modified "2023-10-15" @default.
• W4223553824 title "The Short-Term Effect of COVID-19 Pandemic on China’s Crude Oil Futures Market: A Study Based on Multifractal Analysis" @default.
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• W4223553824 doi "https://doi.org/10.1142/s0219477523400011" @default.
• W4223553824 hasPublicationYear "2022" @default.
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