Impact of the COVID-19 pandemic on the intermittent behavior of the global spot markets of staple food crops

Abstract

Intermittent or multifractal behavior has been reported in various markets, and the impact of the COVID-19 pandemic has been investigated. However, the impact of the COVID-19 pandemic on global spot markets for staple foods has not yet been studied. We fill this gap by investigating the grain and oilseeds index (GOI) and its five sub-indices, wheat, maize, soybean, rice, and barley, released by the International Grains Council (IGC). We perform statistical tests on the presence of intrinsic multifractal behavior in subsamples before and during the COVID-19 pandemic using five multifractal analysis approaches. The results show that intrinsic multifractality is less likely in the (sub-)samples of rice and soybean, whereas the (sub-)samples of wheat and maize are more likely to possess multifractal nature. Only some (sub-)samples showed that the subsamples during COVID-19 were more intermittent than the subsamples before COVID-19.

Keywords

• C1
• P4
• Z13