COVID-19 impact on multifractality of energy prices: Asymmetric multifractality analysis.
Energy (Oxf)
; 256: 124607, 2022 Oct 01.
Article
in English
| MEDLINE | ID: covidwho-1906986
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.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Type of study:
Experimental Studies
/
Prognostic study
Language:
English
Journal:
Energy (Oxf)
Year:
2022
Document Type:
Article
Affiliation country:
J.energy.2022.124607
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