Multifractal Analysis of International Energy and Agricultural Markets Under the Influence of Russia–Ukraine Conflict

Abstract

Taking six representative futures in the international energy and agricultural markets as the research objects, we use multifractal analysis methods to study the fluctuation characteristics, market risks and cross-correlations within and between these markets before and after the outbreak of the Russia–Ukraine conflict in this paper. The empirical results show that both the auto-correlations and cross-correlations have obvious multifractal features. It is confirmed that the multifractal strength and market risks of the international energy markets have weakened, while those of the international agricultural markets have enhanced after the Russia–Ukraine conflict broke out. In addition, the Russia–Ukraine conflict has intensified the strength of the multifractality and the degree of fluctuation complexity between these two classes of international markets. Further, the intrinsic multifractal natures of cross-correlations are tested, and the apparent and intrinsic multifractality before and after the conflict are revealed. Finally, some policy suggestions are put forward based on the empirical results.