Khan Khalid, Su Chi-Wei, Khurshid Adnan, Umar Muhammad
School of Finance, Qilu University of Technology, Jinan, China.
School of Economics, Qingdao University, Qingdao, China.
Energy (Oxf). 2022 Oct 1;256:124607. doi: 10.1016/j.energy.2022.124607. Epub 2022 Jun 24.
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.
本文通过非对称多重分形去趋势波动分析，评估了新冠疫情（COVID-19）期间不同时期能源价格的非对称多重分形特征。较高（较低）的多重分形表明价格快速上涨（下跌），这对能源价格有不同的影响。研究结果表明，原油、取暖油、柴油、汽油、丙烷和煤油回报的下行走势存在强烈的多重分形特征。在两个时期，煤炭和天然气回报的上行多重分形均大于下行。此外，在COVID-19期间，涨跌不对称更为明显，这意味着市场效率降低。研究结果探讨了疫情期间能源价格是否低效。为了观察价格动态中的此类意外波动，需要特别关注，指导方针至关重要。通过更多的信息传递可以提高效率水平，而政府必须在监管中发挥作用。这些方面可以增强稳定性，降低预期风险和价格波动。
