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The ongoing COVID-19 shocked financial markets globally, including China'scrude oil future market, which is the third most traded crude oil futures afterWTI and Brent. As China's first crude oil futures accessible to foreigninvestors, the Shanghai crude oil futures (SC) have attracted significantinterest since launch at the Shanghai International Energy Exchange. The impactof COVID-19 on the new crude oil futures is an important issue for investorsand policy makers. Therefore this paper studies the short-term influence ofCOVID-19 pandemic on SC via multifractal analysis. We compare market efficiencyof SC before and during the pandemic with the multifractal detrendedfluctuation analysis and other commonly-used random walk tests. Then wegenerate shuffled and surrogate data to investigate the components ofmultifractal nature in SC. And we examine cross-correlations between SC returnsand other financial assets returns as well as SC trading volume changes by themultifractal detrended cross-correlation analysis. The results show that marketefficiency of SC and its cross-correlations with other assets increasesignificantly after the outbreak of COVID-19. Besides that, the sources of itsmultifractal nature have changed since the pandemic. The findings provideevidence for the short-term impacts of COVID-19 on SC. The results may haveimportant implications for assets allocation, investment strategies and riskmonitoring.

The short-term effect of COVID-19 pandemic on China's crude oil futures market: A study based on multifractal analysis