Multifractal cross-correlation analysis between crude oil and agricultural futures markets: evidence from Russia–Ukraine conflict

Luiz Gaio and Daniel Henrique Dario Capitani

Journal of Agribusiness in Developing and Emerging Economies, 2023, vol. 15, issue 1, 19-42

Abstract: Purpose - This study investigates the impacts of the Russia–Ukraine conflict on the cross-correlation between agricultural commodity prices and crude oil prices. Design/methodology/approach - The authors used MultiFractal Detrended Fluctuation Cross-Correlation Analysis (MF-X-DFA) to explore the correlation behavior before and during conflict. The authors analyzed the price connections between future prices for crude oil and agricultural commodities. Data consists of daily futures price returns for agricultural commodities (Corn, Soybean and Wheat) and Crude Oil (Brent) traded on the Chicago Mercantile Exchange from Aug 3, 2020, to July 29, 2022. Findings - The results suggest that cross-correlation behavior changed after the conflict. The multifractal behavior was observed in the cross correlations. The Russia–Ukraine conflict caused an increase in the series' fractal strength. The study findings showed that the correlations involving the wheat market were higher and anti-persistent behavior was observed. Research limitations/implications - The study was limited by the number of observations after the Russia–Ukraine conflict. Originality/value - This study contributes to the literature that investigates the impact of the Russia–Ukraine conflict on the financial market. As this is a recent event, as far as we know, we did not find another study that investigated cross-correlation in agricultural commodities using multifractal analysis.

Keywords: Commodity markets; Agricultural; Russian–Ukraine conflict; Cross-correlation; Volatility; C10; C22; C49; G13; Q02; Q11 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jadeep:jadee-11-2022-0252

DOI: 10.1108/JADEE-11-2022-0252

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