This paper uses a cycle dating algorithm to identify five commodity price cycles over the period January 1999 to May 2021, the peaks of which occur in November 2000, September 2005, July 2008, February 2012 and October 2018. In all five cases, the study provides strong evidence of a change in interdependence among the commodity market and a large cross-section of global equity markets between the expansionary and contractionary phases of the cycles. The study shows that the probability of interdependence change is related to changes in the economic characteristics of each market, including in per capita GDP, the size of manufacturing value added and characteristics of the trade in oil.