Asymmetric efficiency in petroleum markets before and during COVID-19

Muhammad Abubakr Naeem, Saqib Farid, Imran Yousaf, Sang Hoon Kang

Research output: Contribution to journalArticlepeer-review

20 Citations (Scopus)


Petroleum markets encountered exceptional challenges during the outbreak period. In this backdrop, the price dynamics in petroleum markets were also significantly influenced by fearsome environment and unprecedented risk experienced during the pandemic. In this direction, the study attempts to investigate the efficiency dynamics of the petroleum markets before and during the COVID-19 pandemic. The study utilizes high frequency data of four major petroleum markets namely, crude oil, Brent oil, diesel and natural gas. In order to unveil asymmetric multifractal scaling behavior of petroleum markets we employ a widely recognized approach known as asymmetric multifractal detrended fluctuation analysis (A-MF-DFA). The results confirm the presence of prevailing market inefficiencies in petroleum markets. In fact, the findings suggest that asymmetric multifractality is more pronounced during the downward trends. Also, the findings stress that market efficiency dynamics in the petroleum sector are dependent upon investment horizon, market conditions and investor behavior. More importantly, the sub-period analysis of COVID-19 era uncovers deteriorating market efficiencies in petroleum markets. Furthermore, the natural gas market emerges as the most efficient market before and during the COVID-19 time period.

Original languageEnglish
Article number104194
JournalResources Policy
Publication statusPublished - Oct 2023
Externally publishedYes


  • Asymmetric multifractality
  • COVID-19
  • High frequency
  • Market efficiency
  • Petroleum markets

ASJC Scopus subject areas

  • Sociology and Political Science
  • Economics and Econometrics
  • Management, Monitoring, Policy and Law
  • Law


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