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The footprints of Russia–Ukraine war on the intraday (in)efficiency of energy markets: a multifractal analysis

Faheem Aslam (COMSATS University Islamabad, Islamabad, Pakistan)
Skander Slim (University of Dubai, Dubai, United Arab Emirates)
Mohamed Osman (University of Dubai, Dubai, United Arab Emirates)
Ibrahim Tabche (University of Dubai, Dubai, United Arab Emirates)

Journal of Risk Finance

ISSN: 1526-5943

Article publication date: 21 November 2022

Issue publication date: 3 February 2023




This paper examines the impact of Russian invasion of Ukraine on the intraday efficiency of four major energy markets, namely, diesel oil, Brent oil, light oil and natural gas.


This study applies the multifractal detrended fluctuation analysis (MFDFA) to high-frequency returns (30-min intervals) for the period from October 21, 2021, to May 20, 2022. The data sample of 5,141 observations is divided into two sub-samples, before and after the invasion of 24th February 2022. Additionally, the magnitude of long memory index is employed to investigate the presence of herding behavior around the invasion period.


Results confirm the presence of multifractality in energy markets and reveal significant changes of multifractal strength due to the invasion, indicating a decline of intraday efficiency for oil markets. Surprisingly, the natural gas market, being the least efficient before the invasion, turns out to be more efficient after the invasion. The findings also suggest that investors in these energy markets are likely to show herding, more prominently after the invasion.

Practical implications

The multifractal patterns, in particular the long memory property of energy markets, can help investors develop profitable investment strategies. Furthermore, the improved efficiency observed in the natural gas market, after the invasion, highlights its unique traits and underlying complexity.


This study is the first attempt to assess the impact of the Russia–Ukraine war on the efficiency of global commodity markets. This is quite important because the adverse effects of the war on financial markets may potentially cause destabilizing outcomes and negative effects on social welfare on a global scale.



Aslam, F., Slim, S., Osman, M. and Tabche, I. (2023), "The footprints of Russia–Ukraine war on the intraday (in)efficiency of energy markets: a multifractal analysis", Journal of Risk Finance, Vol. 24 No. 1, pp. 89-104.



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