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In this paper, we first proposed a statistical test for the detrended multiple moving average cross-correlation coefficient DMMC (s). The DMMC (s) mainly was used to analyze the correlation between the dependent variable y and other n independent variables x i . We proved that DMMC (s) approximately obeys the chi-square distribution. We studied the statistical properties of the DMMC (s) between normally distributed random sequences and power-law ARFIMA long memory random sequences. Furthermore, we discussed the influence of the cross-correlation among the target variable and independent variables on DMMC (s). Finally, we further study the application of DMMC (s) to China's stock markets and China carbon emission trading markets to investigate multiple cross-correlation. The empirical results show that there is a strong multiple correlation between China's Shanghai, Shenzhen and Hong Kong stock markets, while the correlation between China's carbon markets is not significant. This paper provides new ideas and theoretical support for exploring the correlation between multiple variables, which has implications for investors and policymakers. [ABSTRACT FROM AUTHOR]

The COVID-19 outbreak and the implementation of peak and carbon neutral policies have severely impacted oil price volatility and the industrial sector. Exploring the impact mechanisms between oil prices and industries is particularly important for accurate forecasting of crude oil prices. As one of the world's largest commodity consumers, China's crude oil market is more representative and susceptible to external factors than that of developed countries. In this paper, we propose an analytical forecasting framework based on the causal effects between Shanghai crude oil prices and various industries in China to improve the forecasting accuracy of crude oil prices. Information geometric causal inference (IGCI) is applied to detect causal relationships between 31 different industries in China and Shanghai crude oil prices in the three time periods before, during and after COVID-19, and industries with strong causal information effects on crude oil prices in the long run are screened out as additional features. An oil price forecasting model based on Gray Wolf Optimization and Extreme Learning Machine (GWO-ELM) is proposed. Considering the small amount of data for Shanghai crude oil, this paper proposes a cross-learning data approach to solve the problem. Experimental results show that the GWO-ELM model outperforms RF, LSTM, GRU, and migration learning-based Tr-LSTM and Tr-Adaboost models in the task of Shanghai crude oil futures price prediction, and find that industry characteristics with long-term causal effects on oil prices can improve the model prediction accuracy. Our proposed analytical prediction can capture the oil price trend more accurately through the information of the industry and solve the problem of insufficient training data for the model. The application of this framework is expected to provide new methods and ideas for data mining of crude oil and other futures prices. [ABSTRACT FROM AUTHOR]

The ongoing COVID-19 shocked financial markets globally, including China's crude oil future market, which is the third-most traded crude oil futures after WTI and Brent. As China's first crude oil futures are accessible to foreign investors, the Shanghai crude oil futures (SC) have attracted significant interest since launch at the Shanghai International Energy Exchange. The impact of COVID-19 on the new crude oil futures is an important issue for investors and policy makers. Therefore, this paper studies the short-term influence of COVID-19 pandemic on SC via multifractal analysis. We compare the market efficiency of SC before and during the pandemic with the multifractal detrended fluctuation analysis and other commonly used random walk tests. Then, we generate shuffled and surrogate data to investigate the components of multifractal nature in SC. And we examine cross-correlations between SC returns and other financial assets returns as well as SC trading volume changes by the multifractal detrended cross-correlation analysis. The results show that market efficiency of SC and its cross-correlations with other assets increase significantly after the outbreak of COVID-19. Besides that, the sources of its multifractal nature have changed since the pandemic. The findings provide evidence for the short-term impacts of COVID-19 on SC. The results may have important implications for assets allocation, investment strategies and risk monitoring. [ABSTRACT FROM AUTHOR]

Providing a scientific basis and method to ensure the smooth functioning of the Chinese crude oil market would be hugely significant to China's future economic development and security. To this end, attempts have been made to both internationalize the Shanghai crude oil market and minimize financial risks. This paper selects three crude oil markets (INE, WTI and Brent) and five Chinese financial markets (the futures, bond, fund, stock and foreign exchange markets) as the research objects. The Diebold and Yilmaz spillover index model and the multifractal asymmetric detrended cross-correlation analysis (MF-ADCCA) method are used to study the volatility spillover effect and the asymmetric cross-correlation between crude oil markets and financial markets. When the volatility spillover effect and the asymmetric relationship that exists between the financial markets are examined, the volatility spillover of the oil market to the financial market is found to be significantly higher than that of the financial market to the oil market. In particular, the spillover effect was even more significant from late-2019 to early-2020. Analysis demonstrates an asymmetric cross-correlation between crude oil markets and the abovementioned five Chinese financial markets. In particular, the impact of the Chinese crude oil market on the stock market is greatest, especially with respect to the Brent and WTI crude oil markets. Except for the bond market, when the INE and Brent markets are increasing, the risk exposure to financial markets is more significant. Among financial markets, INE-Bond market asymmetry is stronger than WTI-bond market asymmetry, but weaker than that of the Brent-Bond market when there are large fluctuations. [ABSTRACT FROM AUTHOR]

The volatility and cross-correlations of the energy market and the stock market during the COVID-19 pandemic have been paid close attention by scholars and investors. In this paper, we use the asymmetric multifractal analysis methods to study the fluctuation characteristics, market risks and cross-correlations of the Chinese energy futures market (EFM) and two energy stock markets before and after the COVID-19 outbreak, while the return series of Shanghai fuel oil futures, CSI Energy Index and CSI Mainland New Energy Theme Index are considered. The empirical evidences indicate that the auto- and cross-correlations of the three markets have the asymmetric multifractality, and that the multifractality of the cross-correlations is mainly caused by the fat-tailed distribution of the original series. After the COVID-19 outbreak, the risks of both the traditional energy stock market in the uptrend and the entire new energy stock market become larger, while those of the entire EFM become smaller. In addition, the COVID-19 pandemic has increased the multifractality of the cross-correlations between the energy futures and energy stock markets when the EFM is in downward trend. [ABSTRACT FROM AUTHOR]