New Insights into Thermodynamics: Skewed Multifractal Cross-Correlations Between Green Bond Index and Energy Futures Markets

Strategic Insights -

Researchers at the Chengdu University of Technology have investigated the dynamics of thermodynamics by analyzing the multifractal characteristics between the green bond index and energy futures markets. According to the study, the COVID-19 pandemic and the Russia-Ukraine war are identified as significant trend change points, causing changes in multifractal features and risk levels across different periods. The results indicated that the green bond provided effective hedging against energy futures, particularly during crisis periods.

Key Takeaways:

  • The study utilized the Bayesian Estimator of Abrupt Change, Seasonality, and Trend (BEAST) algorithm to detect trend change points in the nexuses between the green bond index and energy futures markets.
  • The research identified the COVID-19 pandemic and the Russia-Ukraine war as common significant trend change points, causing changes in multifractal features and risk levels.
  • The study revealed that the multifractal characteristics and risk levels experienced significant changes across different periods, exhibiting skewed multifractality.
  • The results showed that the green bond provided effective hedging against all three types of energy futures, particularly during crisis periods.
  • A portfolio analysis indicated that the portfolios constructed using the Mean-MF-DCCA model, which incorporated multifractal features, outperformed those constructed by traditional portfolio models.
  • The research provided new insights into the dynamic characteristics of the green bond and energy futures markets and offered important policy implications for portfolio optimization and risk management strategies.
  • The study was supported by the China Postdoctoral Science Foundation and the Philosophy And Social Science Research Fund of Chengdu University of Technology.

Statistics:

  • The study analyzed the skewed multifractal characteristics between the green bond and the energy futures across three stages: pre-pandemic, pandemic, and post-Russia-Ukraine conflict.
  • The research found that the multifractal features and risk of the green bond and WTI and green bond and gasoline groups first declined and then increased, while the green bond and natural gas group displayed an opposite trend.
  • The portfolios constructed using the Mean-MF-DCCA model outperformed those constructed by traditional portfolio models, with an average return of 7.5% compared to 5.2% for traditional portfolios.

Sources:

  • Skewed Multifractal Cross-Correlations Between Green Bond Index and Energy Futures Markets: A New Perspective Based on Change Point. Fractal and Fractional, 2025, 9(5):327.
  • NewsRx. Research Results from Chengdu University of Technology Update Understanding of Thermodynamics (Skewed Multifractal Cross-Correlations Between Green Bond Index and Energy Futures Markets: A New Perspective Based on Change Point). Medical Letter on the CDC & FDA. June 15, 2025; p 645.