The fact that the term "black market" exists is proof enough to demonstrate that claim.
That states have always tried their darndest (with varying degrees of success) to control markets to e.g. tax them is a better way of looking at things.
Black markets just operate on top of white markets, often using the same exact state-backed money. Hunter-gather groups and other social structures known to exist before states generally operated on gift economies. There's not really any anthropological evidence that markets existed prior to the formation of states. Read the first few chapters of Debt: The First 5000 Years by David Graeber (RIP).
> it is the state that created the markets they operate in
There's many large corporations who are only still around because of the state, they wouldn't survive on the kind of market you're probably thinking of.