Bicchetti, David and Maystre, Nicolas (2012): The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data. Forthcoming in:
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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.
|Item Type:||MPRA Paper|
|Original Title:||The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data|
|Keywords:||Financialization; Cross-Market Linkages; Commodities; Equities; High frequency; Structural change|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G - Financial Economics > G2 - Financial Institutions and Services > G23 - Non-bank Financial Institutions ; Financial Instruments ; Institutional Investors
O - Economic Development, Innovation, Technological Change, and Growth > O3 - Innovation ; Research and Development ; Technological Change ; Intellectual Property Rights > O33 - Technological Change: Choices and Consequences ; Diffusion Processes
G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing ; Futures Pricing
G - Financial Economics > G1 - General Financial Markets > G10 - General
|Depositing User:||Nicolas Maystre|
|Date Deposited:||20. Mar 2012 14:13|
|Last Modified:||16. Feb 2015 08:08|
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