TY - JOUR
T1 - Analysis of the impact of COVID-19 on the correlations between crude oil and agricultural futures
AU - Wang, Jian
AU - Shao, Wei
AU - Kim, Junseok
N1 - Funding Information:
The first author (Jian Wang) was supported by the China Scholarship Council ( 201808260026 ). The corresponding author (J.S. Kim) expresses gratitude for the support from the BK21 PLUS program.
Publisher Copyright:
© 2020 Elsevier Ltd
PY - 2020/7
Y1 - 2020/7
N2 - 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.
AB - 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.
KW - Agricultural futures
KW - Cross-correlations
KW - Crude oil
KW - Multifractaity
UR - http://www.scopus.com/inward/record.url?scp=85084847201&partnerID=8YFLogxK
U2 - 10.1016/j.chaos.2020.109896
DO - 10.1016/j.chaos.2020.109896
M3 - Article
AN - SCOPUS:85084847201
SN - 0960-0779
VL - 136
JO - Chaos, Solitons and Fractals
JF - Chaos, Solitons and Fractals
M1 - 109896
ER -