Asymmetric Multifractal Analysis of the Chinese Energy Futures and Energy Stock Markets under the Impact of COVID-19

Abstract

The volatility and cross-correlations of the energy market and the stock market during the COVID-19 pandemic have been paid close attention by scholars and investors. In this paper, we use the asymmetric multifractal analysis methods to study the fluctuation characteristics, market risks and cross-correlations of the Chinese energy futures market (EFM) and two energy stock markets before and after the COVID-19 outbreak, while the return series of Shanghai fuel oil futures, CSI Energy Index and CSI Mainland New Energy Theme Index are considered. The empirical evidences indicate that the auto- and cross-correlations of the three markets have the asymmetric multifractality, and that the multifractality of the cross-correlations is mainly caused by the fat-tailed distribution of the original series. After the COVID-19 outbreak, the risks of both the traditional energy stock market in the uptrend and the entire new energy stock market become larger, while those of the entire EFM become smaller. In addition, the COVID-19 pandemic has increased the multifractality of the cross-correlations between the energy futures and energy stock markets when the EFM is in downward trend.