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,...

We propose a “reflexivity” index that quantifies the relative importance of short-term endogeneity/reflexivity for several commodity futures markets (corn, oil, soybeans, sugar, and wheat) and a benchmark equity futures market (E-mini S&P 500). Our reflexivity index is defined as the average...