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

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  • 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.

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Bibliographic Info

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

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Date of creation: 2012
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Handle: RePEc:unc:dispap:208

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Cited by:
  1. 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.
  2. Francesco Ravazzolo & Marco J. Lombardi, 2012. "Oil price density forecasts: Exploring the linkages with stock markets," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School 0008, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  3. Delatte, Anne-Laure & Lopez, Claude, 2013. "Commodity and equity markets: Some stylized facts from a copula approach," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5346-5356.
  4. Vladimir Filimonov & David Bicchetti & Nicolas Maystre, 2013. "Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets," UNCTAD Discussion Papers, United Nations Conference on Trade and Development 212, United Nations Conference on Trade and Development.
  5. André Nassif & Carmem Feijó & Eliane Araújo, 2014. "Structural Change And Economicdevelopment: Is Brazil Catching Up Or Falling Behind?," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Grad 091, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  6. Andrew Cornford, 2014. "Macroprudential Regulation: Potential Implications For Rules For Cross-Border Banking," UNCTAD Discussion Papers, United Nations Conference on Trade and Development 216, United Nations Conference on Trade and Development.
  7. 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.
  8. Grosche, Stephanie & Heckelei, Thomas, 2014. "Directional Volatility Spillovers between Agricultural, Crude Oil, Real Estate and other Financial Markets," Discussion Papers, University of Bonn, Institute for Food and Resource Economics 166079, University of Bonn, Institute for Food and Resource Economics.
  9. Ben Beachy, 2012. "A Financial Crisis Manual Causes, Consequences, and Lessons of the Financial Crisis," GDAE Working Papers 12-06, GDAE, Tufts University.
  10. Shigehisa Kasahara, 2013. "The Asian Developmental State And The Flying Geese Paradigm," UNCTAD Discussion Papers, United Nations Conference on Trade and Development 213, United Nations Conference on Trade and Development.
  11. Stephany Griffith-Jones, 2014. "A Brics Development Bank: A Dream Coming True?," UNCTAD Discussion Papers, United Nations Conference on Trade and Development 215, United Nations Conference on Trade and Development.
  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, United Nations Conference on Trade and Development 214, United Nations Conference on Trade and Development.
  13. 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, Hochschule fuer Technik und Wirtschaft, Berlin 1206, Hochschule fuer Technik und Wirtschaft, Berlin.
  14. Alessandro Missale & Emanuele Bacchiocchi, 2012. "Multilateral Indexed Loans And Debt Sustainability," UNCTAD Discussion Papers, United Nations Conference on Trade and Development 209, United Nations Conference on Trade and Development.

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