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Analysis of the impact of COVID-19 on the correlations between crude oil and agricultural futures

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  • Wang, Jian
  • Shao, Wei
  • Kim, Junseok

Abstract

In this study, we explored the impact of COVID-19 on the cross-correlations between crude oil and agricultural futures markets. A multifractal detrended cross-correlation analysis (MF-DCCA) approach was utilized to analyze the cross-correlations between the Brent crude oil and agricultural futures such as London Sugar, London Wheat, USA Cotton #2, and USA Orange Juice futures. We initially confirmed their correlations by calculating the DCCA coefficient. Then, from the multifractal aspect, the cross-correlations were further explored, and the sources for forming the correlations were discussed. The results show that the Brent Crude Oil has the strongest cross-correlation with London Sugar Future market among other three agricultural future markets. Then we investigated the influence of COVID-19 on the cross-correlations of multifractality between crude oil and agricultural futures. The experimental results indicated that the persistence under the influence of COVID-19 became stronger, and the cross-correlations of multifractality between crude oil and sugar future market is the strongest. In addition, the cross-correlations of all the agricultural futures increased after the emergence of COVID-19 except the orange juice future market. In general, COVID-19 has a great impact on the cross-correlation of multifractal property between crude oil and most selected agricultural future markets.

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  • Wang, Jian & Shao, Wei & Kim, Junseok, 2020. "Analysis of the impact of COVID-19 on the correlations between crude oil and agricultural futures," Chaos, Solitons & Fractals, Elsevier, vol. 136(C).
    • Handle: RePEc:eee:chsofr:v:136:y:2020:i:c:s0960077920302964
    DOI: 10.1016/j.chaos.2020.109896
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