Study on the Efficiency and Complexity of Chinese Energy Market Based on Multiple Events

Energy supports national economic development, and its financial attributes are continuously being enhanced. Analyzing the efficiency and risk of the energy market is of significant importance in energy security and sustainable development. This paper employs the multifractal detrended fluctuation analysis (MFDFA) method to study the efficiency, complexity, and risk of the energy exchange-traded fund (ETF) market in China. Additionally, the market characteristics are investigated under different events. The empirical results indicate that the Chinese energy ETF market is anti-persistence and has not yet reached weak efficiency. The market exhibits multifractal characteristics, with variations in multifractal structures across different stages, reflecting varying degrees of complexity. Particularly, the market displays more complex multifractal characteristics when price fluctuations are caused by supply and demand changes. Furthermore, external policies or information and supply–demand relationships have a certain impact on market prices. Based on the current state of China’s energy ETF market, some suggestions are proposed to provide valuable references for the development of the energy market.