8 Pages Posted: 12 May 2012
Date Written: March 20, 2012
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: 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
By Robert Engle