Analysis of the impact of COVID-19 on the correlations between crude oil and agricultural futures

•We explored the cross-correlations between crude oil and agricultural futures markets such as London Sugar, London Wheat, USA Cotton #2, and USA Orange Juice futures.•A multifractal detrended cross-correlation analysis (MF-DCCA) approach was utilized to analyze the cross-correlations.•Brent Crude Oil has the strongest cross-correlation with London Sugar Future market among other three agricultural future markets.•We investigated the influence of COVID-19 on the cross-correlations of multifractality between crude oil and agricultural futures.•The multifractal cross-correlations of all the agricultural futures increased after the emergence of COVID-19 except the orange juice future market. In this study, we explored the impact of COVID-19 on the cross-correlations between crude oil and agricultural futures markets. A multifractal detrended cross-correlation analysis (MF-DCCA) approach was utilized to analyze the cross-correlations between the Brent crude oil and agricultural futures such as London Sugar, London Wheat, USA Cotton #2, and USA Orange Juice futures. We initially confirmed their correlations by calculating the DCCA coefficient. Then, from the multifractal aspect, the cross-correlations were further explored, and the sources for forming the correlations were discussed. The results show that the Brent Crude Oil has the strongest cross-correlation with London Sugar Future market among other three agricultural future markets. Then we investigated the influence of COVID-19 on the cross-correlations of multifractality between crude oil and agricultural futures. The experimental results indicated that the persistence under the influence of COVID-19 became stronger, and the cross-correlations of multifractality between crude oil and sugar future market is the strongest. In addition, the cross-correlations of all the agricultural futures increased after the emergence of COVID-19 except the orange juice future market. In general, COVID-19 has a great impact on the cross-correlation of multifractal property between crude oil and most selected agricultural future markets.