Multifractal characterization of energy stocks in China: A multifractal detrended fluctuation analysis

• Energy stock returns and volatilities are multifractal.
• Crude oil market activity contributes to multifractality in Chinese energy stock index.
• Fat-tail distribution is the most important source of multifractality.

In this paper, we investigate the impacts of oil price changes on energy stocks in Chinese stock market from the multifractal perspective. The well-known multifractal detrended fluctuation analysis (MF-DFA) is applied to detect the multifractality. We find that both returns and volatilities of energy industry index display apparent multifractal behavior. Oil market activity is an important source of multifractality in energy stocks index in addition to long-range correlations and fat-tail distributions.