Article: Analysis of the impact of COVID-19 on the correlations between crude oil and agricultural futures.
2020 Volume 136, Page(s) 109896
Abstract: ... utilized to analyze the cross-correlations between the Brent crude oil and agricultural futures ... In this study, we explored the impact of COVID-19 on the cross-correlations between crude oil and ... of multifractality between crude oil and agricultural futures. The experimental results indicated ...
| Abstract | In this study, we explored the impact of COVID-19 on the cross-correlations between crude oil and agricultural futures markets. A multifractal detrended cross-correlation analysis (MF-DCCA) approach was utilized to analyze the cross-correlations between the Brent crude oil and agricultural futures such as London Sugar, London Wheat, USA Cotton #2, and USA Orange Juice futures. We initially confirmed their correlations by calculating the DCCA coefficient. Then, from the multifractal aspect, the cross-correlations were further explored, and the sources for forming the correlations were discussed. The results show that the Brent Crude Oil has the strongest cross-correlation with London Sugar Future market among other three agricultural future markets. Then we investigated the influence of COVID-19 on the cross-correlations of multifractality between crude oil and agricultural futures. The experimental results indicated that the persistence under the influence of COVID-19 became stronger, and the cross-correlations of multifractality between crude oil and sugar future market is the strongest. In addition, the cross-correlations of all the agricultural futures increased after the emergence of COVID-19 except the orange juice future market. In general, COVID-19 has a great impact on the cross-correlation of multifractal property between crude oil and most selected agricultural future markets. |
|---|---|
| Keywords | covid19 |
| Language | English |
| Publishing date | 2020-05-15 |
| Publishing country | England |
| Document type | Journal Article |
| ZDB-ID | 2003919-0 |
| ISSN | 1873-2887 ; 0960-0779 |
| ISSN (online) | 1873-2887 |
| ISSN | 0960-0779 |
| DOI | 10.1016/j.chaos.2020.109896 |
| Database | MEDical Literature Analysis and Retrieval System OnLINE |
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