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

Amine Ben Amar, Boutaina Lmasrar and Mondher Bouattour

Economics and Business Letters, 2025, vol. 14, issue 2, 106-116

Abstract: 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 prices for maturities ranging from 1 to 60 months were used. The 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. It also reveals a relatively higher and more stable level of integration within the European market. The 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.

Date: 2025
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