Asymmetric Multifractal Efficiency in Global Trade-Related Markets: Evidence from Oil, Freight and Exchange Rate Dynamics

The paper examines the multifractal and asymmetric behavior of oil, freight and exchange rate markets in the global trade system with the help of the Asymmetric Multifractal Detrended Fluctuation Analysis (AMF-DFA) technique. Based on daily data of West Texas Intermediate (WTI) crude oil, the Baltic Dry Index (BDI), and the exchange rate between the RMB/USD over the period of post-COVID-19 (2021–2024), the analysis focuses on whether efficiency in the markets varies across time scales and directional regimes. The findings show that there is strong evidence of multifractality in all markets, which implies that the scaling behavior is heterogeneous, and that it is long-range-dependent. Notable directional persistence is found between up and down movements with oil and exchange rate markets showing stronger directional persistence, especially at longer horizons with the freight markets displaying relatively weaker directional persistence. Additional results imply that temporal dependence and nonlinearity are the main drivers of multifractality in oil and exchange rate markets, and short-term fluctuations are prevalent factors in the dynamics of the freight market. These findings not only refute the classical Efficient Market Hypothesis but also provide empirical evidence in support of the Adaptive Market Hypothesis, and how efficiency is dynamic, dependent on scale, and directionally asymmetric. The study contributes by examining asymmetric multifractal efficiency across three trading markets during the post-COVID period, while recognizing that formal cross-market spillover analysis remains a direction for future research.