The recent and unprecedented surge observed in energy prices, and es...

This paper proposes to investigate the impact of \u85nancialization on energy markets (oil, gas, coal and electricity European forward prices) during both normal times and extreme uctuation periods through an original behavioral and emotional approach. To this aim, we propose a new theoretical and empirical framework based on a heterogeneous agents model in which fundamentalists and chartists co-exist and are subject to regret and uncertainty. We \u85nd signi\u85cant evidence that energy markets are composed by heterogeneous traders which behave di¤erently depending on the intensity of the price uctuations and un-certainty context. In particular, energy prices are mainly governed by fundamental and chartist neutral agents during normal times whereas they face to irrational chartist averse investors during extreme uctu-ations periods. In this context, the recent energy prices surge can be viewed as the consequence of irrational exhuberance. Our new theo-retical model outperforms the random walk in out-of-sample predictive ability. JEL Classi\u85cation: Q43, G15, G02, D8