The Synchronized and Long-Lasting Structural Change on Commodity Markets: Evidence from High Frequency Data

8 Pages Posted: 12 May 2012  

Nicolas Maystre

UNCTAD - United Nations Conference on Trade and Development; Department of Economics - University of Geneva

David Bicchetti

United Nations - Conference on Trade and Development (UNCTAD)

Date Written: March 20, 2012

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

JEL Classification: G10, G12, G13, G14, G23, O33

Suggested Citation

Maystre, Nicolas and Bicchetti, David, The Synchronized and Long-Lasting Structural Change on Commodity Markets: Evidence from High Frequency Data (March 20, 2012). Algorithmic Finance (2013), 2:3-4, 233-239. Available at SSRN: https://ssrn.com/abstract=2046584 or http://dx.doi.org/10.2139/ssrn.2046584

Nicolas Maystre (Contact Author)

Department of Economics - University of Geneva ( email )

40, boulevard du Pont-d'Arve
Geneva 4, CH-1211
Switzerland

HOME PAGE: http://www.unige.ch/ses/dsec/staff/faculty/Maystre-Nicolas.html

UNCTAD - United Nations Conference on Trade and Development ( email )

Palais des Nations
Room: E 10013
Geneva, 1211
Switzerland
+41229171848 (Phone)

David Bicchetti

United Nations - Conference on Trade and Development (UNCTAD) ( email )

Palais des Nations
Office E 10025
Geneva, 1211
Switzerland

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