Physica A 527 (2019) 121194 Contents lists available at ScienceDirect Physica A journal homepage: www.elsevier.com/locate/physa Multifractal detrended cross-correlation analysis and frequency dynamics of connectedness for energy futures markets Bangcan Wang a , Yu Wei b,∗ , Yuhui Xing a , Wenjiao Ding a a Kunming Power Exchange Center Company Limited, China b School of Finance, Yunnan University of Finance and Economics, China highlights • MF-DCCA is used to detect the correlation patterns among four major energy futures markets. • Frequency connectedness measurement is employed to identify the information contribution of individual energy markets. • Significant multifractality is found in the cross-correlations among the four energy futures markets. article info Article history: Received 28 December 2018 Received in revised form 21 March 2019 Available online 8 May 2019 Keywords: MF-DCCA Variance decomposition Frequency connectedness Energy futures abstract In this paper, the correlations among four major energy futures markets, i.e. elec- tricity, coal, natural gas and crude oil, are investigated by multifractal detrended cross-correlation analysis (MF-DCCA) and a novel frequency connectedness method. The empirical results show that, firstly, there are significant multifractality in the cross- correlations among the four energy futures markets, and the cross-correlation behavior of small fluctuations is more persistent than that of large fluctuations. Secondly, the connectedness among the four energy markets is much stronger in short term than those in longer time horizons. Thirdly, in terms of the static connectedness measurement without time frequency and on time horizon of 4 to 10 days, electricity futures market dominates other energy markets by contributing the largest positive net connectedness in the system. Finally, when the dynamic connectedness is considered, we find that at different time periods, the four energy markets play various roles in the system by offering time-varying positive or negative net connectedness to other markets. The electricity futures market, however, transmits the largest positive net connectedness in recent years, especially on time horizons longer than 4 days. © 2019 Elsevier B.V. All rights reserved. 1. Introduction Energy markets are extremely important for modern economy globally. The prices of energy products, especially those major products, such as crude oil, coal, natural gas and electricity fluctuate wildly in recent years [1–5]. To manage the market risk of energy products, energy futures are commonly used by suppliers, demanders and speculators in recent years [6–11]. Furthermore, there is a large amount of literature on interconnection within energy markets as well to the other commodities groups and financial assets [12–16]. Recently, Filip et al. [17] make an excellent review in this field. ∗ Correspondence to: 237 Longquan Road, Kunming, Yunnan, China. E-mail address: weiyusy@126.com (Y. Wei). https://doi.org/10.1016/j.physa.2019.121194 0378-4371/© 2019 Elsevier B.V. All rights reserved.