Multifractal characteristics and multiscale entropy patterns in energy markets under the effect of the COVID-19 pandemic

ABSTRACT

This study uses the wavelet leaders method to examine multifractal characteristics and multiscale entropy patterns in price returns of four energy markets, Brent, West Texas Intermediate (WTI), gasoline, and heating oil, before and during the COVID-19 pandemic. The results show that price returns in all energy markets exhibit multifractal properties before and during the pandemic. In addition, the level of multifractals intensified during the pandemic only in price returns of Brent, WTI, and gasoline markets. On the contrary, the level of multifractals decreased during the pandemic in price returns of the heating oil market. The empirical results based on multiscale entropy show strong evidence of a reduced irregularity in energy market price returns during the COVID-19 pandemic. Our empirical findings have important managerial implications for traders and investors in the energy market.