Multifractal analysis of the Baltic crude oil price index and the China-US oil stock index under the influence of the financial crisis

WANG Yue; HE Hong-di

doi:10.16411/j.cnki.issn1006-7736.2018.02.016

2018 , Vol. 44 >Issue 2: 104 - 112

DOI: https://doi.org/10.16411/j.cnki.issn1006-7736.2018.02.016

Multifractal analysis of the Baltic crude oil price index and the China-US oil stock index under the influence of the financial crisis

WANG Yue ,
HE Hong-di

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（Logistics Research Center, Shanghai Maritime University, Shanghai 201306，China）

Received date: 2017-11-18

Revised date: 2017-12-11

Online published: 2018-01-19

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Abstract

In order to analyze the influence of the financial crisis on the relationship between the oil freight index and oil stock index, taking the Baltic Dirty Tank Index and China/US oil representative stock index as study objects, the crosscorrelation differences before and after the financial crisis were studied by using the Multifractal Detrended Cross-Correlation Analysis (MF-DCCA). The empirical results show that there is not only a multifractal existence between the Baltic Dirty Tank Index and China/US oil stock index, but also the obvious characteristics of the period, that is, the late financial crisis has more diversified fractal characteristics than the early financial crisis. The small fluctuations between the Baltic Dirty Tank Index and the China oil stock index have a stronger positive persistence than the US oil stock index, and the large fluctuations have a weaker antipersistence. The multifractal strength between the Baltic Dirty Tank Index and the US oil stock index is stronger than the China oil stock index before and after the financial crisis. The analysis of the difference between oil freight index and China/US oil stock index can provide reference and suggestions for managers and investors in the oil market about risk investment.

Key words： Baltic crude oil price index; China/US oil stock index; financial crisis; multiple fractal

Cite this article

WANG Yue , HE Hong-di . Multifractal analysis of the Baltic crude oil price index and the China-US oil stock index under the influence of the financial crisis[J]. Journal of Dalian Maritime University, 2018 , 44(2) : 104 -112 . DOI: 10.16411/j.cnki.issn1006-7736.2018.02.016

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