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Twenty years ago, Pindyck and Rotemberg concluded that commodity prices exhibited excessive co-movements and that commodity markets were characterized by herd behaviour. The herding hypothesis has recently experienced a revival. A number of studies have concluded that commodities have become 'financialized' and contaminated by the stock market because of the large influx of hedge funds, index trackers and financial investors. Analysing monthly prices of 20 commodities for the period 1986-2010, we find that there has been a tendency toward increased co-movements across commodities and between commodities and the stock market after 2004. However, this result is mainly driven by the extreme price movements after 2008. There is no strong evidence of financialization or contamination from the market activities of financial investors prior to 2008.

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