Herding behavior in energy commodity futures markets amid turmoil and turmoil-free periods

Most of the literature on herding behavior focuses on purely financial markets. However, there remains a gap in our understanding of herding behavior in commodity futures markets across various maturities, as this strand of the literature is still limited and inconclusive. This paper extends the academic literature by focusing on the herding behavior within and across five energy futures markets, including light crude oil (West Texas Intermediate), Brent crude oil, heating oil, natural gas and Reformulated Blendstock for Oxygenate Blending (RBOB) gasoline. Our analysis shows an antiherding effect for the full sample period (from October 2005 to April 2022) and in both bullish and bearish markets for all the futures markets investigated. However, herding behavior was detected during the 2007–9 global financial crisis and the start of the ongoing war in Ukraine. Nevertheless, no evidence of herding during the early days of Covid-19 pandemic was found for those markets. The cross-herding investigation shows significant cross-market herding effects. Specifically, the natural gas market evolved inversely to the other energy commodity markets during the financial crisis and during the conflict between Russia and Ukraine, and all markets moved together in the same direction during the Covid-19 crisis.