Are European and U.S. natural gas futures markets integrated? Insights from network-connectedness and cross-herding analysis

• Amine Ben Amar ^[2] ; Boutaina Lmasrar ^[2] ; Mondher Bouattour ^[1]
  1. [1] Université de Toulouse

     Université de Toulouse

     Arrondissement de Toulouse, Francia

     
  2. [2] Mohammed VI Polytechnic University, Rabat
• Localización: Economics and Business Letters, ISSN-e 2254-4380, Vol. 14, Nº. 2, 2025, págs. 106-116
• Idioma: inglés
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• Resumen

  • This paper investigates the connectedness as well as the cross-herding behavior among the U.S. and European natural gas futures markets. Daily data of U.S. and European natural gas futures pricesfor maturities ranging from 1 to 60 months were used. The network-connectedness analysis emphasizes a weak level of integration between these two geographically distinct natural gas futures markets, while revealing much more pronounced magnitude of connectedness among the different maturities within each of them. The dynamic total connectedness results reveal a relatively higher and more stable level of integration within the European market. The static, as well as dynamic, cross-herding analyses show the absence of herding behavior between the two considered markets, reflecting that investors’ behavior in one market is not sensitive to conditions in the second market.