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Cross-Correlation Analysis of Crude Oil-Related Stock Markets in China Caused by the Conflict Between Russia and Ukraine

Author

Listed:
  • Jian Wang

    (Nanjing University of Information Science and Technology
    Nanjing University of Information Science and Technology
    Nanjing University of Information Science and Technology)

  • Wenjing Jiang

    (Nanjing University of Information Science and Technology)

  • Menghao Huang

    (Nanjing University of Information Science and Technology)

  • Wei Shao

    (Nanjing University of Information Science and Technology)

Abstract

In this study, we apply multifractal detrended fluctuation analysis (MF-DFA) to explore the differences in China’s financial markets efficiency around the Russia-Ukraine Conflict. We investigate the stock markets for fossil oil, fertilizer and grain. The results show that the three industries around the conflict both have multifractal characteristics, and the multifractal characteristics after the conflict are stronger. This phenomenon shows that the efficiency of the stock markets have decreased after the conflict. Then, we adopt multifractal detrended cross-correlation analysis (MF-DCCA) to examine the nonlinear cross-correlations between fossil oil / chemical fertilizer and fossil oil / grain. The results indicate that there are cross correlations between the two time series pairs. In addition, the cross-correlations between chemical fertilizer and fossil oil after the conflict increase significantly, while that between grain and fossil oil are increase slightly. This paper is great interest by policy makers and participants involved in these markets given the economic and financial consequences derived from such dynamics.

Suggested Citation

  • Jian Wang & Wenjing Jiang & Menghao Huang & Wei Shao, 2025. "Cross-Correlation Analysis of Crude Oil-Related Stock Markets in China Caused by the Conflict Between Russia and Ukraine," Computational Economics, Springer;Society for Computational Economics, vol. 65(3), pages 1299-1317, March.
    • Handle: RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10554-z
    DOI: 10.1007/s10614-024-10554-z
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