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Dynamics of fine wine and asset prices: evidence from short- and long-run co-movements
| dc.rights.license | open | en_US |
| hal.structure.identifier | Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi] | |
| dc.contributor.author | FAYE, Benoit | |
| hal.structure.identifier | Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi] | |
| dc.contributor.author | LE FUR, Eric | |
| hal.structure.identifier | Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi] | |
| dc.contributor.author | PRAT, Stephanie | |
| dc.date.accessioned | 2022-12-13T17:34:43Z | |
| dc.date.available | 2022-12-13T17:34:43Z | |
| dc.date.issued | 2015-02-16 | |
| dc.identifier.issn | 0003-6846 | en_US |
| dc.identifier.uri | https://www.researchgate.net/publication/271824895_Dynamics_of_fine_wine_and_asset_prices_evidence_from_short-_and_long-run_co-movements | |
| dc.identifier.uri | oai:crossref.org:10.1080/00036846.2015.1011321 | |
| dc.identifier.uri | oai:researchgate.net:271824895 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/170620 | |
| dc.description.abstractEn | 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. | |
| dc.language.iso | EN | en_US |
| dc.source | crossref | |
| dc.source | researchgate | |
| dc.subject.en | Wine | |
| dc.subject.en | Price | |
| dc.subject.en | Causality | |
| dc.subject.en | ECM | |
| dc.subject.en | Finance | |
| dc.title.en | Dynamics of fine wine and asset prices: evidence from short- and long-run co-movements | |
| dc.type | Article de revue | en_US |
| dc.identifier.doi | 10.1080/00036846.2015.1011321 | en_US |
| dc.subject.hal | Sciences de l'Homme et Société/Economies et finances | en_US |
| dc.subject.jel | C - Mathematical and Quantitative Methods::C3 - Multiple or Simultaneous Equation Models; Multiple Variables::C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models | en_US |
| dc.subject.jel | G - Financial Economics::G1 - General Financial Markets::G11 - Portfolio Choice; Investment Decisions | en_US |
| dc.subject.jel | G - Financial Economics::G1 - General Financial Markets::G12 - Asset Pricing; Trading Volume; Bond Interest Rates | en_US |
| dc.subject.jel | D - Microeconomics::D1 - Household Behavior and Family Economics::D12 - Consumer Economics: Empirical Analysis | en_US |
| bordeaux.journal | Applied Economics | en_US |
| bordeaux.page | 3059-3077 | en_US |
| bordeaux.volume | 47 | en_US |
| bordeaux.hal.laboratories | Laboratoire d'analyse et de recherche en économie et finance internationales (LAREFI) - EA2954 | en_US |
| bordeaux.issue | 29 | en_US |
| bordeaux.institution | Université de Bordeaux | en_US |
| bordeaux.institution | CNRS | en_US |
| bordeaux.peerReviewed | oui | en_US |
| bordeaux.inpress | non | en_US |
| bordeaux.import.source | dissemin | |
| hal.identifier | hal-03897341 | |
| hal.version | 1 | |
| hal.date.transferred | 2022-12-13T17:34:44Z | |
| hal.export | true | |
| workflow.import.source | dissemin | |
| dc.rights.cc | Pas de Licence CC | en_US |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Applied%20Economics&rft.date=2015-02-16&rft.volume=47&rft.issue=29&rft.spage=3059-3077&rft.epage=3059-3077&rft.eissn=0003-6846&rft.issn=0003-6846&rft.au=FAYE,%20Benoit&LE%20FUR,%20Eric&PRAT,%20Stephanie&rft.genre=article |
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