 COVID-19 impact on multifractality of energy prices: Asymmetric multifractality analysisKhalid Khan, Chi-Wei Su, Adnan Khurshid and Muhammad Umar Energy, 2022, vol. 256, issue C Abstract: This article assesses the asymmetric multifractality of the energy prices in the different periods during the coronavirus pandemic (COVID-19) through asymmetric multifractality detrended fluctuation analysis. The higher (lower) multifractality shows a rapid rise (fall), which has different consequences for the energy prices. The findings explore strong multifractality in the downward movements for crude oil, heating oil, diesel, gasoline, propane and kerosene oil returns. The upside multifractality for coal and natural gas returns are bigger than the downside in both periods. Furthermore, the access asymmetry is more pronounced during the COVID-19, implying increased market inefficiency. The outcomes explore if energy prices are inefficient during the pandemic. A special attention is required in order to observe such unexpected fluctuations in the price dynamic and guidelines are vital. The level of efficiency can be improved by a greater transference in information while the government must play its role in regulations. Such aspects can increase stability and decrease the expected risks and price movements. Keywords: Energy prices; COVID-19; Asymmetric multifractality; Efficiency (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:256:y:2022:i:c:s0360544222015109 DOI: 10.1016/j.energy.2022.124607 Access Statistics for this article Energy is currently edited by Henrik Lund and Mark J. Kaiser More articles in Energy from Elsevier |
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