Financial market contagion and fine wines: the evidence of the ADCC GARCH model
dc.rights.license | open | en_US |
hal.structure.identifier | Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi] | |
dc.contributor.author | LE FUR, Eric | |
dc.contributor.author | BEN AMEUR, Hachmi | |
dc.contributor.author | BRAUNE, Eric | |
hal.structure.identifier | Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi] | |
dc.contributor.author | FAYE, Benoit | |
dc.date.accessioned | 2022-12-14T09:13:19Z | |
dc.date.available | 2022-12-14T09:13:19Z | |
dc.date.issued | 2016-01-01 | |
dc.identifier.issn | 1476-1297 | en_US |
dc.identifier.uri | oai:crossref.org:10.1504/ijesb.2016.10000512 | |
dc.identifier.uri | oai:crossref.org:10.1504/ijesb.2016.079967 | |
dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/170631 | |
dc.description.abstractEn | Using an asymmetric dynamic conditional correlations (ADCC) generalised auto-regressive conditional heteroskedacity (GARCH) framework, the present study explores the possible contagion effects between financial and the fine wines markets during the period of 2003 to 2014. Our results are manifold. Firstly, we demonstrate that the different wine indices are not affected in the same way by financial market volatility. Secondly, it seems that the choice of the financial index selected strongly influences the identification of the contagion effects. Thirdly, we emphasise a proximity or regional effect mediating the contagion transmission of financial market volatility to fine wines indices. Finally, our study reinforces the possible alternative asset nature of fine wines. | |
dc.language.iso | EN | en_US |
dc.source | crossref | |
dc.subject.en | Contagion effect | |
dc.subject.en | Financial markets | |
dc.subject.en | Fine wines | |
dc.subject.en | Market volatility | |
dc.subject.en | ADCC GARCH model | |
dc.title.en | Financial market contagion and fine wines: the evidence of the ADCC GARCH model | |
dc.type | Article de revue | en_US |
dc.identifier.doi | 10.1504/IJESB.2016.079967 | en_US |
dc.subject.hal | Sciences de l'Homme et Société/Economies et finances | en_US |
bordeaux.journal | International Journal of Entrepreneurship and Small Business | en_US |
bordeaux.page | 583-601 | en_US |
bordeaux.volume | 29 | en_US |
bordeaux.hal.laboratories | Laboratoire d'analyse et de recherche en économie et finance internationales (LAREFI) - EA2954 | en_US |
bordeaux.issue | 4 | 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-03897774 | |
hal.version | 1 | |
hal.date.transferred | 2022-12-14T09:13:21Z | |
hal.export | true | |
workflow.import.source | dissemin | |
dc.rights.cc | Pas de Licence CC | en_US |
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