  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 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 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.
