Abstract: By drawing upon Shanghai fuel oil futures prices (SHRY) typical of emerging energy markets, West Texas Intermediate oil futures prices (WTI) and Brent oil futures prices (Brent) typical of developed energy markets, this paper uses Multifractal Asymmetric Detrended Cross-Correlation Analysis (MF-ADCCA) to analyze asymmetric and multifractal correlation of emerging and developed energy futures markets, and particularly discusses their difference and risks in the short-term and long-term trading. The empirical results demonstrate that the relationships between emerging and developed energy markets are multifractal and obviously asymmetric; and the asymmetric degree of multifractal correlation in the short-term trading is stronger than that in the long-term trading. In the short-term trading, the risks between emerging and developed energy markets become most significant when developed energy markets are on the rise, but in the long-term trading, they become most significant when developed energy markets are on the rise or when emerging energy markets are on the downside. Therefore, for portfolios involved in the two different types of market, short-term focus should be put on the rising of the mature energy futures market prices, but long-term focus should be put on specific market conditions in order to effectively prevent and respond to the price volatility risks in the energy markets.

Key words: energy futures markets, MF-ADCCA, asymmetry, multifractality, correlation