The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data

David Bicchetti () and Nicolas Maystre

Algorithmic Finance, 2013, vol. 2, issue 3-4, 233-239

Abstract: This paper analyses the co-movements between the US stock market and several commodity futures between 1998 and 2011. It computes dynamic conditional correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second, and (iv) 1-second frequencies and documents a synchronized structural break, characterized by correlations that have significantly departed from zero to positive territories, since late September 2008. Our results support the idea that high frequency trading and algorithmic strategies have an effect on the behaviour of commodity prices

Keywords: Financialization; Cross-Market Linkages; Commodity; High Frequency; Structural Change (search for similar items in EconPapers)
JEL-codes: G10 G12 G13 G14 G23 O33 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (15)

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Working Paper: The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:iosalg:0015

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