Advanced Search
MyIDEAS: Login to save this paper or follow this series

The Synchronized And Long-Lasting Structural Change On Commodity Markets: Evidence From High Frequency Data

Contents:

Author Info

  • David Bicchetti
  • Nicolas Maystre

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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.unctad.org/en/PublicationsLibrary/osgdp2012d2_en.pdf
Download Restriction: no

Bibliographic Info

Paper provided by United Nations Conference on Trade and Development in its series UNCTAD Discussion Papers with number 208.

as in new window
Length:
Date of creation: 2012
Date of revision:
Handle: RePEc:unc:dispap:208

Contact details of provider:
Postal: Palais des Nations, CH - 1211 Geneva 10
Phone: +41 22 907 12 34
Fax: +41 22 907 00 43
Email:
Web page: http://www.unctad.org/Templates/Page.asp?intItemID=2101&lang=1
More information through EDIRC

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Alt, Aydogan & Kaniel, Ron & Yoeli, Uzi, 2012. "Why Do Institutional Investors Chase Return Trends?," CEPR Discussion Papers 8773, C.E.P.R. Discussion Papers.
  2. Martina Metzger, 2008. "Regional Cooperation And Integration In Sub-Saharan Africa," UNCTAD Discussion Papers 189, United Nations Conference on Trade and Development.
  3. S.M. Shafaeddin, 2005. "Trade Liberalization And Economic Reform In Developing Countries: Structural Change Or De-Industrialization?," UNCTAD Discussion Papers 179, United Nations Conference on Trade and Development.
  4. Sebastian Dullien, 2009. "Central Banking, Financial Institutions And Credit Creation In Developing Countries," UNCTAD Discussion Papers 193, United Nations Conference on Trade and Development.
  5. Heiner FLASSBECK, 2002. "The Exchange Rate: Economic Policy Tool Or Market Price?," UNCTAD Discussion Papers 157, United Nations Conference on Trade and Development.
  6. De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-95, June.
  7. S.M. Shafaeddin, 2002. "The Impact Of China´S Accession To Wto On The Exports Of Developing Countries," UNCTAD Discussion Papers 160, United Nations Conference on Trade and Development.
  8. Shigehisa Kasahara, 2004. "The Flying Geese Paradigm: A Critical Study Of Its Application To East Asian Regional Development," UNCTAD Discussion Papers 169, United Nations Conference on Trade and Development.
  9. Ke Tang & Wei Xiong, 2010. "Index Investment and Financialization of Commodities," NBER Working Papers 16385, National Bureau of Economic Research, Inc.
  10. Mehdi SHAFAEDDIN, 2000. "What Did Frederick List Actually Say? Some Clarifications On The Infant Industry Argument," UNCTAD Discussion Papers 149, United Nations Conference on Trade and Development.
  11. Manuel R. AGOSIN & Ricardo MAYER, 2000. "Foreign Investment In Developing Countries, Does It Crowd In Domestic Investment?," UNCTAD Discussion Papers 146, United Nations Conference on Trade and Development.
  12. Lucas Assuncao & ZhongXiang Zhang, 2002. "Domestics Climate Change Policies And The Wto," UNCTAD Discussion Papers 164, United Nations Conference on Trade and Development.
  13. Frankel, Jeffrey A & Froot, Kenneth A, 1990. "Chartists, Fundamentalists, and Trading in the Foreign Exchange Market," American Economic Review, American Economic Association, vol. 80(2), pages 181-85, May.
  14. Michael Geiger, 2008. "Instruments Of Monetary Policy In China And Their Effectiveness: 1994–2006," UNCTAD Discussion Papers 187, United Nations Conference on Trade and Development.
  15. Marwan Elkhoury, 2007. "Credit Rating Agencies And Their Potential Impact On Developing Countries," UNCTAD Discussion Papers 186, United Nations Conference on Trade and Development.
  16. Robert Rowthorn & Ken Coutts, 2004. "De-Industrialization And The Blance Of Payments In Advanced Economies," UNCTAD Discussion Papers 170, United Nations Conference on Trade and Development.
  17. Alberto Gabriele, 2004. "Policy Alternatives In Reforming Power Utilities In Developing Countries: A Critical Survey," UNCTAD Discussion Papers 168, United Nations Conference on Trade and Development.
  18. Alberto GABRIELE, 2001. "Science And Technology Policies, Industrial Reform And Technical Progress In China. Can Socialist Property Rights Be Compatible With Technological Catching Up?," UNCTAD Discussion Papers 155, United Nations Conference on Trade and Development.
  19. Yuefen Li, 2003. "China´S Accession To Wto: Exaggerated Fears?," UNCTAD Discussion Papers 165, United Nations Conference on Trade and Development.
  20. B. Andersen, & Z. Kozul-Wright & R. Kozul-Wright, 2000. "Copyrights, Competition And Development: The Case Of The Music Industry," UNCTAD Discussion Papers 145, United Nations Conference on Trade and Development.
  21. Altı, Aydoğan & Kaniel, Ron & Yoeli, Uzi, 2012. "Why do institutional investors chase return trends?," Journal of Financial Intermediation, Elsevier, vol. 21(4), pages 694-721.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Shigehisa Kasahara, 2013. "The Asian Developmental State And The Flying Geese Paradigm," UNCTAD Discussion Papers 213, United Nations Conference on Trade and Development.
  2. Francesco Ravazzolo & Marco J. Lombardi, 2012. "Oil price density forecasts: Exploring the linkages with stock markets," Working Papers 0008, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  3. Alessandro Missale & Emanuele Bacchiocchi, 2012. "Multilateral Indexed Loans And Debt Sustainability," UNCTAD Discussion Papers 209, United Nations Conference on Trade and Development.
  4. Delatte, A-L. & Lopez, C., 2013. "Commodity and Equity Markets: Some Stylized Facts from a Copula," Working papers 421, Banque de France.
  5. Delatte, Anne-Laure & Lopez, Claude, 2013. "Commodity and Equity Markets: Some Stylized Facts from a Copula Approach," CEPR Discussion Papers 9558, C.E.P.R. Discussion Papers.
  6. Filimonov, Vladimir & Bicchetti, David & Maystre, Nicolas & Sornette, Didier, 2014. "Quantification of the high level of endogeneity and of structural regime shifts in commodity markets," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 174-192.
  7. Andrew Cornford, 2014. "Macroprudential Regulation: Potential Implications For Rules For Cross-Border Banking," UNCTAD Discussion Papers 216, United Nations Conference on Trade and Development.
  8. Ben Beachy, 2012. "A Financial Crisis Manual Causes, Consequences, and Lessons of the Financial Crisis," GDAE Working Papers 12-06, GDAE, Tufts University.
  9. Grosche, Stephanie & Heckelei, Thomas, 2014. "Directional Volatility Spillovers between Agricultural, Crude Oil, Real Estate and other Financial Markets," Discussion Papers 166079, University of Bonn, Institute for Food and Resource Economics.
  10. André Nassif & Carmem Feijó & Eliane Araújo, 2013. "Structural Change And Economic Development: Is Brazil Catching Up Or Falling Behind?," UNCTAD Discussion Papers 211, United Nations Conference on Trade and Development.
  11. Giovanni Andrea Cornia & Bruno Martorano, 2013. "Development policies and income inequality in selected developing regions, 1980-2010," Working Papers - Economics wp2013_13.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  12. Jörg Mayer, 2013. "Towards More Balanced Growth Strategies In Developing Countries: Issues Related To Market Size, Trade Balances And Purchasing Power," UNCTAD Discussion Papers 214, United Nations Conference on Trade and Development.
  13. Girardi, Daniele, 2013. "Financialization of food - The determinants of the time-varying relation between agricultural prices and stock market dynamics," MPRA Paper 52043, University Library of Munich, Germany, revised 16 Nov 2013.
  14. Bernhard Troester, 2012. "The determinants of the recent food price surges – A basic supply and demand model," Competence Centre on Money, Trade, Finance and Development 1206, Hochschule fuer Technik und Wirtschaft, Berlin.
  15. Stephany Griffith-Jones, 2014. "A Brics Development Bank: A Dream Coming True?," UNCTAD Discussion Papers 215, United Nations Conference on Trade and Development.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:unc:dispap:208. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rachid Bouhia).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.