In this paper, we study the quality of commodity futures markets. We investigate the impact of two major changes: (1) The influx of index investors after 2004 (financialization) and (2) the introduction of side-by-side trading of open-outcry and electronic limit order markets around mid-2006...

In this paper, we identify the most suitable low-frequency proxies for analyzing commodity market quality. We use an 11-year sample of millisecond time-stamped order book data and examine the correlation of high-frequency liquidity and price efficiency measures with their low-frequency proxies...