Second-order time correlation measurements with a temporal resolution better than 3 ps were performed on a CdTe microcavity where spontaneous Bose-Einstein condensation is observed. After the laser pulse, the nonresonantly excited thermal polariton population relaxes into a coherent polariton condensate. Photon statistics of the light emitted by the microcavity evidences a clear phase transition from the thermal state to a coherent state, which occurs within 3.2 ps after the onset of stimulated scattering. Following this very fast transition, we show that the emission possesses a very high coherence that persists for more than 100 ps after the build-up of the condensate. (C) 2015 AIP Publishing LLC.