Multifractal Detrended Cross‐Correlation Patterns in the Dynamics of the Global Energy and Green Investment Markets: Insights From Pre‐ <scp>COVID</scp> ‐19 and Pandemic Experiences

ABSTRACT Despite the increasing concentration on the budding, but yet immature, green investment markets, less empirical information is known on their multifractal and efficiency behaviour, with no study particularly linking these to the crude oil market. In addition, how the recent COVID‐19 affects the multifractality and cross‐correlation between oil price and the green investment assets remains unexamined in the literature. Filling these gaps, this study employs novel multifractal techniques that cut across univariate, multiscale, and cross‐correlation analyses. We find that oil price and all the green investment assets are strongly multifractal in behaviour before and during the COVID‐19 pandemic, although the pandemic intensifies persistence and market inefficiency. Moreover, the multifractality is established to vary across scales, thereby making it to be complex and heterogeneous. On a final note, oil price has a strong multifractal cross‐correlation with all the green investment assets, and this is more pronounced during the pandemic. Thus, the oil and green investment markets are closely knitted. These findings are followed with suitable policy implications for investors who desire to effectively assess and manage financial risks and policymakers that desire optimal performance of the markets to achieve the goal of a carbon‐friendly economy.