Multiscale correlation analysis of Sino-US corn futures markets and the impact of international crude oil price: A new perspective from the multifractal method

Yun Feng, Jie Yang and Qian Huang

Finance Research Letters, 2023, vol. 53, issue C

Abstract: Based on the multifractal method, this paper studies the dynamic characteristics of the cross-correlation between Sino-US corn futures markets after 2020 in the context of a series of exogenous shocks, and the impact of international crude oil prices on this relationship. We find that the cross-correlation significantly strengthened after 2020 at multi-time scales, but its uncertainty and complexity reduced. Besides, shocks of the crude oil market increase the cross-correlation at multi-time scales, which notably weakened after 2020. This suggests the Chinese government's interventions and regulations on the domestic grain market were effective.

Keywords: COVID-19; Russia–Ukraine war; Corn futures market; International crude oil; Multifractal analysis (search for similar items in EconPapers)
JEL-codes: C32 G18 Q14 Q43 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:53:y:2023:i:c:s154461232300065x

DOI: 10.1016/j.frl.2023.103691

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