Multifractality and cross-correlation between the crude oil and the European and non-European stock markets during the Russia-Ukraine war

Financial markets are often at the mercy of diverse crises at the country-specific, regional, or global levels. However, these crises may impose different impacts on the performance of the financial markets, making investors and policymakers consistently interested in how the markets behave in such periods to be adequately guided in their investment and policy decisions. This study answers this curiosity by examining the multifractality and cross-correlation between oil prices and prominent European and non-European stock markets before and during the recent Russia-Ukraine war. Our empirical analysis detects a strong multifractal behaviour in the oil and stock markets. However, persistence is generally higher at the lower scales, representing the sampled periods' beginning. Moreover, the war has a stronger direct influence on the persistence of the oil and the European stock markets. In contrast, it has a stronger indirect impact on the persistence of the stock markets of non-European countries through oil prices. These countries, namely the U.S., Japan, and China, have the largest economies in the world. Nonetheless, the impact of oil prices was stronger for all the countries in the war period, as their stock markets became inefficient.