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Cross-correlations between Baltic Dry Index and crude oil prices

Author

Listed:
  • Ruan, Qingsong
  • Wang, Yao
  • Lu, Xinsheng
  • Qin, Jing

Abstract

This paper examines the cross-correlation properties of Baltic Dry Index (BDI) and crude oil prices using cross-correlation statistics test and multifractal detrended cross-correlation analysis (MF-DCCA). The empirical results show that the cross-correlations between BDI and crude oil prices are significantly multifractal. By introducing the concept of a “crossover”, we find that the cross-correlations are strongly persistent in the short term and weakly anti-persistent in the long term. Moreover, cross-correlations of all kinds of fluctuations are persistent in the short time while cross-correlations of small fluctuations are persistent and those of large fluctuations are anti-persistent in the long term. We have also verified that the multifractality of the cross-correlations of BDI and crude oil prices is both attributable to the persistence of fluctuations of time series and fat-tailed distributions.

Suggested Citation

  • Ruan, Qingsong & Wang, Yao & Lu, Xinsheng & Qin, Jing, 2016. "Cross-correlations between Baltic Dry Index and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 278-289.
    • Handle: RePEc:eee:phsmap:v:453:y:2016:i:c:p:278-289
    DOI: 10.1016/j.physa.2016.02.018
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