COVID-19 impact on multifractality of energy prices: Asymmetric multifractality analysis. (1st October 2022)

• Record Type: Journal Article
• Authors: Khan, Khalid; Su, Chi-Wei; Khurshid, Adnan; Umar, Muhammad
• Is Part Of: Energy. Volume 256(2022)
• Publication Date: 2022-10-01
• Subjects: Energy prices -- COVID-19 -- Asymmetric multifractality -- Efficiency; B17 -- G14 -- H12 -- Q41; Power resources -- Periodicals; Power (Mechanics) -- Periodicals; Energy consumption -- Periodicals; 333.7905
• DOI: 10.1016/j.energy.2022.124607
• Languages: English
• ISSNs: 0360-5442

Abstract

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. Highlights: Examine the asymmetric multifractality of the energy prices. Explore asymmetric multifractality in energy prices. The strong multifractality is detected in the downward movements. Access asymmetry is more pronounced during the COVID-19. Energy prices are inefficient during the pandemic.