Dynamics of fine wine and asset prices: evidence from short- and long-run co-movements
PRAT, Stephanie
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
PRAT, Stephanie
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
< Réduire
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
Langue
EN
Article de revue
Ce document a été publié dans
Applied Economics. 2015-02-16, vol. 47, n° 29, p. 3059-3077
Résumé en anglais
This paper examines short- and long-term price linkages among the majority of fine wine and equity markets over the period of 2003 to 2012. We do not consider price index (LIV-EX 100 or 500), as is typically undertaken in ...Lire la suite >
This paper examines short- and long-term price linkages among the majority of fine wine and equity markets over the period of 2003 to 2012. We do not consider price index (LIV-EX 100 or 500), as is typically undertaken in previous studies, but rather examine the auction price series of the world’s most traded wine-vintage pairs (5 Bordeaux first growth, 8 Bordeaux second growth, 5 Burgundy, 3 Rhone, 4 Italian, 5 Californian, 1 Australian and 1 Portuguese). A global equity index is also included using the MSCI World. Cointegration procedures, the Granger non-causality test, and ECM are used to analyze short- and long-run relationships among these markets. The results indicate a strong effect of financial markets on wine prices and short-term causality for certain wines. Moreover, the findings indicate short-run causality between the wines themselves, revealing a leader (exogenous) or follower (endogenous) status of certain fine wines in price dynamics, and also long-run causality for endogenous wines. This approach is relevant for portfolio diversification strategies and allows price movements to be anticipated more accurately than with an index approach.< Réduire
Mots clés en anglais
Wine
Price
Causality
ECM
Finance