THE SYNCHRONIZED AND LONG-LASTING STRUCTURAL CHANGE ON COMMODITY MARKETS: EVIDENCE FROM HIGH FREQUENCY DATA

David Bicchetti () and Nicolas Maystre

No 208, UNCTAD Discussion Papers from United Nations Conference on Trade and Development

Abstract: This paper analyses the co-movements between the United States stock market and several commodity futures between 1997 and 2011, by computing dynamic conditional correlations at: (i) 1-hour; (ii) 5-minute; (iii) 10-second; and (iv) 1-second frequencies. We document a synchronized structural break, characterized by correlations that have significantly departed from zero to positive territories since late September 2008 and have also remained exceptionally high as of December 2011. Our results support the presence of high frequency trading and algorithmic strategies on commodity markets and have implications for the debate on the financialization of these markets.

Date: 2012
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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)
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