Correlations between the crude oil market and capital markets under the Russia–Ukraine conflict: A perspective of crude oil importing and exporting countries

This paper analyzes the effect of the Russia–Ukraine conflict on the crude oil market and the chain effect of the stock market in importing and exporting countries. We apply a multi-fractal detrended fluctuation analysis (MF-DFA) to investigate the efficiency of the crude oil market before and after the outbreak of the conflict. We also compare the cross correlations between the crude oil market and stock market in importing and exporting countries before and after the conflict by the method of multi-fractal detrended cross-correlation analysis (MF-DCCA). By measuring the generalized Hurst exponents, mass exponents and multi-fractal spectrums, we find that the efficiency of the crude oil market has been weaker after the Russia–Ukraine conflict than before. Besides, the cross correlations between the crude oil market and stock markets have been stronger after the conflict for the crude oil importers. However, for crude oil exporters, the cross correlations between crude oil market and stock markets have not significantly changed around the conflict. Furthermore, we investigate the persistence of the cross correlations between the crude oil and the capital markets of the importing and exporting countries. We find that the persistence of the cross correlations between the capital markets of the importing countries and the crude oil are weaker than those of exporting countries around the conflict. In addition, we check the robustness of our conclusions to ensure their reliability. The results can provide valuable insights for macroeconomic policy makers.