Multifractal relationship between decomposed oil price shocks and trading volume

The decomposition of oil price shocks is crucial for understanding the multifractal nature of price-volume dynamics in crude oil futures. Using the structural vector autoregression (SVAR), this study decomposes the crude oil futures prices into three types of oil price shocks, viz., supply shocks, demand shocks, and risk shocks. The heterogeneous effects of decomposed oil price shocks on the trading volume of the crude oil futures are uncovered based on the multifractal detrended cross-correlation analysis (MF-DCCA). The results reveal significant multifractal characteristics between the oil price shocks and the trading volume changes in the West Texas Intermediate (WTI) futures market. Specifically, demand shocks exhibit the strongest long-range correlation with trading volume, which may be related to the influence of slow-moving variables such as macroeconomic factors, seasonality, and global energy policies on demand changes. Additionally, the greater multifractality observed between supply shocks and trading volume suggests heightened market complexity and risk, possibly linked to recent geopolitical disruptions. Finally, from the standpoint of market efficiency, the crude oil futures market responds the most efficiently to the demand shocks, while its efficiency is the lowest when reacting to supply shocks. This study further decomposes oil price into distinct types of shocks, analyzing the multifractal relationship between price shocks and trading volume, offering a novel perspective for understanding the transactional dynamics of the crude oil futures market. The findings deepen the insights of economic actors engaging in the crude oil futures market into the characteristics of the price-volume relationship and furthermore help them identify the heterogeneous effects of decomposed oil price shocks on the trading volume in their investment decisions and risk monitoring.