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

Article type: Research Article

Authors: Bicchetti, David^a | Maystre, Nicolas^{a; b; *}

Affiliations: [a] United Nations Conference on Trade and Development (UNCTAD) | [b] Department of Economics, University of Geneva, Switzerland

Correspondence: [*] Corresponding author: Nicolas Maystre, Macroeconomic and Development Policies Branch; Room: E. 10013; Palais des Nations; 1211 Geneva 10; Switzerland. Tel.: +41229171848; fax: +41229170274. E-mail: nicolas.maystre@unctad.org

Note: [] Disclaimer: The opinions expressed in this paper, including designation and terminology, are those of the authors and are not to be taken as the official views of UNCTAD or its Member States.

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

Keywords: Financialization, Cross-Market Linkages, Commodity, High frequency, Structural change

DOI: 10.3233/AF-13028

Journal: Algorithmic Finance, vol. 2, no. 3-4, pp. 233-239, 2013