The Scotland international completed his move to the relegated Cottagers from Leeds United for £11m last week.
Dyche believes that the size of the fee has raised the asking price for players with a similar pedigree.
When asked about McCormack's transfer, he told the Burnley Express: "I think it's blown the market open. That's a real surprise - not because he's not a good player, because he is a good player, but I think that's one that's really probably caught everyone unawares.
"I'm surprised by the level of the number, but there is an advert for teams coming out of the Premier League who are still cash strong and are willing to go out and spend it.
"It's a different dynamic, those clubs are used to spending vast amounts of money. For us we've been coming back and trimming and making sure the club is running efficiently. It's a different mindset with those big numbers."