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Upward/downward multifractality and efficiency in metals futures markets: The impacts of financial and oil crises

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  • Mensi, Walid
  • Vo, Xuan Vinh
  • Kang, Sang Hoon

Abstract

This study investigates the multifractality behavior, time-varying efficiency, and long memory in leading precious and industrial metals futures markets. We use Hurst exponent and an asymmetric multifractal detrended fluctuations analysis (A-MF-DFA). We show significant asymmetric multifractality. Moreover, gold has the lowest asymmetric multifractality behavior and silver experiences the highest magnitude of asymmetric multifractality. All metals markets show persistence under negative scales and anti-persistence at positive scales. Precious metals are more inefficient in a downward trend before and during the 2008 global financial crisis and European sovereign debt crisis (GFC and ESDC) and during the oil crisis. Industrial metals are highly inefficient in a downward trend before and during the GFC and ESDC and the recovery period, while the resuxlts are mixed during the oil crisis.

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  • Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Upward/downward multifractality and efficiency in metals futures markets: The impacts of financial and oil crises," Resources Policy, Elsevier, vol. 76(C).
    • Handle: RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722000940
    DOI: 10.1016/j.resourpol.2022.102645
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    More about this item

    Keywords

    Metals futures markets; Multifractality; Efficiency; Financial and energy crises; Asymmetric MF-DFA;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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