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

David Bicchetti () and Nicolas Maystre

MPRA Paper from University Library of Munich, Germany

Abstract: This paper analyses the intraday co-movements between returns on several commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second, and (iv) 1-second frequencies. Using this database, we document a synchronized structural break, characterized by a departure from zero, which starts in the course of 2008 and continues thereafter. This is consistent with the idea that recent financial innovations on commodity futures exchanges, in particular the high frequency trading activities and algorithm strategies have an impact on these correlations.

Keywords: Financialization; Cross-Market Linkages; Commodities; Equities; 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: 2012-03-20
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (39)

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Related works:
Journal Article: The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data (2013)
Working Paper: THE SYNCHRONIZED AND LONG-LASTING STRUCTURAL CHANGE ON COMMODITY MARKETS: EVIDENCE FROM HIGH FREQUENCY DATA (2012) Downloads
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