Cat5e/6 unshielded twisted pair is recommended when used with CCTV baluns unless it is an electrically noisy environment such as an industrial plant in which case shielded twisted (STP) is recommended for additional noise immunity. If STP is used, the shield must be grounded at least on one end, if not both.
In case of ground loop, a ground loop isolation balun may be installed on one end to break the ground loop.
example: http://muxlab.com/product?category=cctv&product=cctv-pass-thrugli-balun&pid=37